Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps (Q2354898)
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scientific article; zbMATH DE number 6464851
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| English | Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps |
scientific article; zbMATH DE number 6464851 |
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Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps (English)
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27 July 2015
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sample
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discrete time approximation
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Hamilton-Jacobi-Bellman equation
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nonlinear degenerate PDE
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optimal control
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backward stochastic differential equations
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convergence
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0.8822012543678284
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0.8095710873603821
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0.7936072945594788
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