Publication Details:
Journal or Publication Title:
Armenian Journal of Mathematics=Հայկական մաթեմատիկական հանդես
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Title:
Adomian's Decomposition Method Applied to an Exponential Equation
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Contributor(s):
Գլխ. խմբ.՝ Անրի Ներսեսյան ; Պատ. խմբ.՝ Լինդա Խաչատրյան ; Խմբ. տեղակալ՝ Ռաֆայել Բարխուդարյան
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Uncontrolled Keywords:
Stochastic Exponential ; Martingale ; Adomian Series ; Brownian Motion
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Abstract:
The purpose of this study is to obtain a decomposition of the solution to a backward stochastic differential equation used in the dual problem of mathematical finance. Some explicitly solvable equations considered. We convert the equation into a system of recurrent relations. By solving this system and proving convergence of the series the solution to the equation can be determined. In this study, Adomian's method was applied to solve the backward stochastic differential equation. An explicit solution was obtained for some examples.
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Electronic Open Access Publication of the National Academy of Sciences of Armenia