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Numerical Analysis on Backward Stochastic Differential Equations by Finite Transposition Method

arXiv CS Tuesday 09 June 2026, 04:00 UTC By Penghui Wang, Yanqing Wang, Xu Zhang 1 min read
Key Points

arXiv:2606.08731v1 Announce Type: cross Abstract: In this paper, we propose a finite transposition method to solve backward stochastic differential equations (BSDEs, for short). Based on the transposition solution theory for BSDEs, our method offers a promising way of efficiently computing solutions, which can be regarded as an analogous method for BSDEs as the classical finite element method for partial differential equations. Our method has the advantage of easily computable conditional...

arXiv:2606.08731v1 Announce Type: cross Abstract: In this paper, we propose a finite transposition method to solve backward stochastic differential equations (BSDEs, for short). Based on the transposition solution theory for BSDEs, our method offers a promising way of efficiently computing solutions, which can be regarded as an analogous method for BSDEs as the classical finite element method for partial differential equations. Our method has the advantage of easily computable conditional expectations.
Numerical Analysis (ORG) Finite Transposition Method (ORG)
Originally published by arXiv CS Read original →

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