• DocumentCode
    502705
  • Title

    A sort of discrete backward stochastic differential equations and its convergence

  • Author

    Lin, Xiangyun ; Zhang, Rui ; Wang, Xiangrong

  • Author_Institution
    Coll. of Sci., Shandong Univ. of Sci. & Technol., Qingdao, China
  • Volume
    2
  • fYear
    2009
  • fDate
    8-9 Aug. 2009
  • Firstpage
    431
  • Lastpage
    434
  • Abstract
    By making discrete filtration, we study a sort of discrete backward stochastic differential equations (BSDEs) with Duffie & Epstein´s type. Based on the properties of those filtrations, we prove the existence and uniqueness of the solutions. Finally, we discuss the numerical stability and convergence of the discrete BSDEs.
  • Keywords
    differential equations; numerical stability; Duffie & Epstein type; convergence; discrete backward stochastic differential equations; discrete filtration; numerical stability; Convergence; Differential equations; Educational institutions; Extraterrestrial measurements; Filtration; Hydrogen; Nonlinear equations; Numerical stability; Space technology; Stochastic processes; Backward stochastic differential equations; convergenc; numerical solution; stability;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computing, Communication, Control, and Management, 2009. CCCM 2009. ISECS International Colloquium on
  • Conference_Location
    Sanya
  • Print_ISBN
    978-1-4244-4247-8
  • Type

    conf

  • DOI
    10.1109/CCCM.2009.5267461
  • Filename
    5267461
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=502705