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- W3012156883 abstract "Abstract In this paper, we propose a new numerical method for 1-D backward stochastic differential equations (BSDEs for short) without using conditional expectations. The approximations of the solutions are obtained as solutions of a backward linear system generated by the terminal conditions. Our idea is inspired from the extended Kalman filter to non-linear system models by using a linear approximation around deterministic nominal reference trajectories." @default.
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- W3012156883 date "2020-06-01" @default.
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- W3012156883 title "A new numerical method for 1-D backward stochastic differential equations without using conditional expectations" @default.
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- W3012156883 doi "https://doi.org/10.1515/rose-2020-2030" @default.
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