Existence, minimality and approximation of solutions to BSDEs with convex drivers (Q424485): Difference between revisions
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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. | |||
| Property / review text: 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. / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Andrew I. Dale / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65C30 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6040293 / rank | |||
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| Property / zbMATH Keywords | |||
Backward stochastic differential equations | |||
| Property / zbMATH Keywords: Backward stochastic differential equations / rank | |||
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| Property / zbMATH Keywords | |||
backward stochastic difference equations | |||
| Property / zbMATH Keywords: backward stochastic difference equations / rank | |||
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| Property / zbMATH Keywords | |||
convex drivers | |||
| Property / zbMATH Keywords: convex drivers / rank | |||
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| Property / zbMATH Keywords | |||
discrete-time approximations | |||
| Property / zbMATH Keywords: discrete-time approximations / rank | |||
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| Property / zbMATH Keywords | |||
supersolutions | |||
| Property / zbMATH Keywords: supersolutions / rank | |||
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Revision as of 21:26, 29 June 2023
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)
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1 June 2012
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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.
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Backward stochastic differential equations
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backward stochastic difference equations
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convex drivers
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discrete-time approximations
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supersolutions
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