Numerical schemes for multivalued backward stochastic differential systems

DOI10.2478/S11533-011-0131-YzbMath1257.65006arXiv1101.1831OpenAlexW2056182604MaRDI QIDQ424108

Lucian Maticiuc, Eduard Rotenstein

Publication date: 31 May 2012

Published in: Central European Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.1831

zbMATH Keywords

Brownian motionerror estimateEuler schemestochastic differential equations (SDEs)Yosida approximationmultivalued backward SDEsreflected SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Multivalued backward stochastic differential equations with time delayed generators ⋮ Anticipated backward stochastic variational inequalities with generalized reflection ⋮ Mean square convergence of the numerical solution of random differential equations ⋮ Backward stochastic variational inequalities on random interval

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