Backward SDE StochasticDiffEq


I am interested in solving backward SDEs as in these papers (, They talk about standard Wiener process in the reverse-time direction. Is it sufficient to flip the integration time span in StochasticDiffEq?

using StochasticDiffEq

f(u,p,t) = -0.5*u
g(u,p,t) = 1.0

tf = 10.0
tspan = (0.0, tf)
prob = SDEProblem(f, g, zeros(Nx), tspan)
reverse_prob = SDEProblem(f, g, zeros(Nx), reverse(tspan))


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Thank you Chris.