A new method for solving of a backward stochastic di erential equations by using a basic functions

Publish Year: 1391
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:

CFMA03_141

تاریخ نمایه سازی: 16 خرداد 1394

Abstract:

In this paper, we purpose a method for numerical solution of a backward stochastic differentialequations driven by standard Brownian motion as follows:{dX(s) = f(X(s))ds + g(X(s))dB(s), s є[[0, T),X(T) = p.The method is stated by using the basic functions based on the block pulse functions. Finally,we show the method has a good degree of accuracy by using some examples.

Keywords:

Block pulse functions , Backward stochastic differential equations

Authors

Z Sadati

Department of Mathematics, khomein Branch, Islamic Azad University, khomein, Iran