Some analytic approximations for backward stochastic differential equations

Jasmina Djordjevic


We consider an analytic iterative method to approximate the solution of the backward stochastic differential equation of general type. More pre- cisely, we define a sequence of approximate equations and give sufficient conditions under which the approximate solutions converge with proba- bility 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.


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