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A linear approximation algorithm using BSDE
Author(s) -
Peng Shige
Publication year - 1999
Publication title -
pacific economic review
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.34
H-Index - 33
eISSN - 1468-0106
pISSN - 1361-374X
DOI - 10.1111/1468-0106.00079
Subject(s) - economics , mathematics , mathematical economics , econometrics
This note demonstrates that a linear approximation algorithm based on Chow’s Lagrangean one‐dimensional backward stochastic differential equations (BSDEs) converges under reasonable assumptions.