Affiliation:
1. Faculty of Sciences and Mathematics, University of Niš, Niš, Serbia
Abstract
We consider an analytic iterative method to approximate the solution of the
backward stochastic differential equation of general type. More precisely, we
define a sequence of approximate equations and give sufficient conditions
under which the approximate solutions converge with probability one and in
pth moment sense, p ? 2, to the solution of the initial equation under
Lipschitz condition. The Z-algorithm for this iterative method is introduced
and some examples are presented to illustrate the theory.
Publisher
National Library of Serbia