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: http://num-meth.srcc.msu.ru/english/zhurnal/tom_2003/v4r134.html
Дата изменения: Tue Nov 18 16:49:05 2003 Дата индексирования: Mon Oct 1 22:37:21 2012 Кодировка: |
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"On a method for approximate solving a backward stochastic differential
equation"
A.V. Zakharov |
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A numerical method for solving a backward stochastic differential equation is described. The convergence proof for this method is based on the theorem on stability of solutions to such equations proved earlier by the author. The work was supported by the A.M. Lyapunov French-Russian Institute for Applied Mathematics and Informatics (grant 02-01).
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| A.V. Zakharov e-mail: azakharov@mail.ru |