Numerical Solutions of Backward Stochastic Differential Equations: A Finite Transposition Method
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🧮 math.PR
cs.NAmath.NA
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methoddifferentialequationsbackwardfinitenumericalsolvingstochastic
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In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
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