no. 15-16
Probability Theory/Numerical Analysis
Numerical solutions of backward stochastic differential equations: A finite transposition method
[Solutions numériques des équations différentielles stochastiques rétrogrades : « A finite transposition method »]

Présenté par : Philippe G. Ciarlet

Wang, Penghui1 ; Zhang, Xu2, 3
1 School of Mathematics, Shandong University, Jinan 250100, China
2 Key Laboratory of Systems and Control, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
3 Yangtze Center of Mathematics, Sichuan University, Chengdu 610064, China
Comptes Rendus. Mathématique, Tome 349 (2011) no. 15-16, pp. 901-903.

Dans cette Note, nous présentons une nouvelle méthode pour résoudre numériquement les équations différentielles stochastiques rétrogrades. Notre méthode ressemble à la méthode des éléments finis qui permet de résoudre numériquement les équations aux dérivées partielles déterministes.

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.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2011.07.011
Wang, Penghui 1 ; Zhang, Xu 2, 3

1 School of Mathematics, Shandong University, Jinan 250100, China
2 Key Laboratory of Systems and Control, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
3 Yangtze Center of Mathematics, Sichuan University, Chengdu 610064, China 
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Wang, Penghui; Zhang, Xu. Numerical solutions of backward stochastic differential equations: A finite transposition method. Comptes Rendus. Mathématique, Tome 349 (2011) no. 15-16, pp. 901-903. doi : 10.1016/j.crma.2011.07.011. http://www.numdam.org/articles/10.1016/j.crma.2011.07.011/

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