• P-ISSN 0974-6846 E-ISSN 0974-5645

Indian Journal of Science and Technology


Indian Journal of Science and Technology

Year: 2014, Volume: 7, Issue: 3, Pages: 271-275

Original Article

Numerical Solution of Backward Stochastic Differential Equations Driven by Brownian Motion through Block Pulse Functions

Received Date:01 February 2014, Accepted Date:23 February 2014, Published Date:03 March 2014


In this paper, a computational technique is presented for solving a Backward Stochastic Differential Equations (BSDEs) driven by a standard Brownian motion. The proposed method is stated via a stochastic operational matrix based on the Block Pulse Functions (BPFs) in combination with the collocation method. With using this approach, the BSDEs are reduced to a stochastic nonlinear system of 2m equations and 2m unknowns. Then, the error analysis is proved by using some definitions, theorems and assumptions on the BSDEs. Efficiency of this method and good reasonable degree of accuracy is confirmed by some numerical examples.

Keywords: Backward Stochastic Differential Equations, Block Pulse Function, Brownian Motion, Stochastic Operational Matrix 


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