Discretization of backward semilinear stochastic evolution equations

DOI10.1016/J.SPA.2006.01.003MaRDI QIDQ2507644zbMATH OpenOpenAlexFDO

Authors Guichang Zhang

Publication date 5 October 2006

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2006.01.003

zbMATH Keywords

BSSEEsconvergence of filtrationsHilbert spacerandom walk

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cites work

• Adapted solution of a backward semilinear stochastic evolution equation
• Corrigendum to ``Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration
• Donsker-type theorem for BSDEs
• Forward-backward stochastic differential equations and their applications
• scientific article; zbMATH DE number 1619467 (Why is no real title available?)
• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 1069628 (Why is no real title available?)
• scientific article; zbMATH DE number 1066322 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Numerical methods for forward-backward stochastic differential equations
• On the robustness of backward stochastic differential equations.
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Stability in D of martingales and backward equations under discretization of filtration

Cited in

(4)

• Approximate solution of the backward problem for Kirchhoff's model of parabolic type with discrete random noise
• Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
• Donsker-type theorem for BSDEs
• Temporal semi-discretizations of a backward semilinear stochastic evolution equation

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