Journal
COMPTES RENDUS MATHEMATIQUE
Volume 349, Issue 15-16, Pages 901-903Publisher
ELSEVIER FRANCE-EDITIONS SCIENTIFIQUES MEDICALES ELSEVIER
DOI: 10.1016/j.crma.2011.07.011
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Funding
- NSF of China [10831007, 60821091, 60974035]
- National Basic Research Program of China (973 Program) [2011CB808002]
- Innovation Foundation of Shandong University
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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. (C) 2011 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved.
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