Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
Annales mathématiques Blaise Pascal, Tome 13 (2006) no. 1, pp. 17-29.

We are interested in the approximation and simulation of solutions for the backward stochastic differential equations. We suggest two approximation schemes, and we study the 𝕃 2 induced error.

DOI : 10.5802/ambp.212
El Otmani, Mohamed 1

1 Faculty of Sciences Semlalia Department of Mathematics Cadi Ayyad University BP 2390 Marrakesh MOROCCO
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El Otmani, Mohamed. Approximation scheme for solutions of backward stochastic differential equations via the representation theorem. Annales mathématiques Blaise Pascal, Tome 13 (2006) no. 1, pp. 17-29. doi : 10.5802/ambp.212. http://www.numdam.org/articles/10.5802/ambp.212/

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