Publication Details:

Established in 2008

Journal or Publication Title:

Armenian Journal of Mathematics=Հայկական մաթեմատիկական հանդես

Date of publication:

2025

Volume:

17

Number:

10

ISSN:

1829-1163

Official URL:

Contributor(s):

Գլխ. խմբ.՝ Անրի Ներսեսյան ; Պատ. խմբ.՝ Լինդա Խաչատրյան ; Խմբ. տեղակալ՝ Ռաֆայել Բարխուդարյան

Coverage:

1-17

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.

Format:

pdf

Identifier:

click here to follow the link ; oai:arar.sci.am:424437

General note:

Electronic Open Access Publication of the National Academy of Sciences of Armenia

Digitization:

ՀՀ ԳԱԱ Հիմնարար գիտական գրադարան