Existence, minimality and approximation of solutions to BSDEs with convex drivers (Q424485): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 1105.1471 / rank | |||
Normal rank | |||
Revision as of 13:30, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Existence, minimality and approximation of solutions to BSDEs with convex drivers |
scientific article |
Statements
Existence, minimality and approximation of solutions to BSDEs with convex drivers (English)
0 references
1 June 2012
0 references
The authors consider a class of backward stochastic differential equations with drivers \(f(t, W, y, z)\) that are convex in \(z\) and with \(f\) Lipschitz in \(y\) and \(W\). Conditions are given for the existence and uniqueness of the solution of the BSDE, the method being to approximate the BSDE by discrete-time equations. Further imposed conditions allow the conclusion that the supersolutions obtained are minimal.
0 references
Backward stochastic differential equations
0 references
backward stochastic difference equations
0 references
convex drivers
0 references
discrete-time approximations
0 references
supersolutions
0 references
