Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
Annales mathématiques Blaise Pascal, Volume 13 (2006) no. 1, p. 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.

@article{AMBP_2006__13_1_17_0,
     author = {El Otmani, Mohamed},
     title = {Approximation scheme for solutions of backward stochastic differential equations via the representation theorem},
     journal = {Annales math\'ematiques Blaise Pascal},
     publisher = {Annales math\'ematiques Blaise Pascal},
     volume = {13},
     number = {1},
     year = {2006},
     pages = {17-29},
     doi = {10.5802/ambp.212},
     mrnumber = {2233010},
     zbl = {1134.60349},
     language = {en},
     url = {http://www.numdam.org/item/AMBP_2006__13_1_17_0}
}
El Otmani, Mohamed. Approximation scheme for solutions of backward stochastic differential equations via the representation theorem. Annales mathématiques Blaise Pascal, Volume 13 (2006) no. 1, pp. 17-29. doi : 10.5802/ambp.212. http://www.numdam.org/item/AMBP_2006__13_1_17_0/

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