A numerical scheme to solve nonlinear BSDEs with Lipschitz and non-Lipschitz coefficients

DOI10.1007/BF02936557zbMath1081.60044OpenAlexW2011224945MaRDI QIDQ2386798

Omid Solaymani Fard, Ali Vahidian Kamyad

Publication date: 25 August 2005

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02936557

zbMATH Keywords

stochastic controlbackward stochastic differential equationmean-square convergenceLQ controlapproximation by polynomials

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Approximation by polynomials (41A10) Optimality conditions for problems involving ordinary differential equations (49K15)

Related Items (1)

Two comparison theorems of BSDEs

Cites Work

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• Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
• Stochastic differential equations. An introduction with applications.
• Donsker-type theorem for BSDEs

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