A new method for solving of a backward stochastic di erential equations by using a basic functions

In this paper, we purpose a method for numerical solution of a backward stochastic differentialequations driven by standard Brownian motion as follows:{dX(s) = f(X(s))ds + g(X(s))dB(s), s є[[0, T),X(T) = p.The method is stated by using the basic functions based on the block pulse functions. Finally,we show the method has a good degree of accuracy by using some examples.

کلیدواژه ها:

Block pulse functions ، Backward stochastic differential equations