Numerical schemes for multivalued backward stochastic differential systems (Q424108)
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scientific article; zbMATH DE number 6039976
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| English | Numerical schemes for multivalued backward stochastic differential systems |
scientific article; zbMATH DE number 6039976 |
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Numerical schemes for multivalued backward stochastic differential systems (English)
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31 May 2012
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A numerical scheme for the system of multivalued backward stochastic differential equations (SDEs) \[ dY_t+F(t,X_t,Y_t,Z_t)dt \in \partial\phi (Y_t)dt+Z_tdW_t \] with \(X_t\) - a solution of a forward SDE, where \(W_t\) is a Brownian motion, is suggested.
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Euler scheme
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Yosida approximation
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error estimate
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multivalued backward SDEs
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reflected SDEs
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Brownian motion
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stochastic differential equations (SDEs)
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0.8027520775794983
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0.795485258102417
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0.7948246598243713
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