Finite Transposition Method
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Related Articles from SNS
Numerical Analysis on Backward Stochastic Differential Equations by Finite Transposition Method
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...