Temporal semi-discretizations of a backward semilinear stochastic evolution equation (Q6166347)

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Temporal semi-discretizations of a backward semilinear stochastic evolution equation

scientific article; zbMATH DE number 7708049

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English	Temporal semi-discretizations of a backward semilinear stochastic evolution equation	scientific article; zbMATH DE number 7708049

Statements

instance of

scholarly article

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title

Temporal semi-discretizations of a backward semilinear stochastic evolution equation (English)

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Applied Mathematics and Optimization

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publication date

6 July 2023

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full work available at URL

https://arxiv.org/abs/2106.13428

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zbMATH Keywords

backward semilinear stochastic evolution equation

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Brownian motion

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discretization

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stochastic linear quadratic control

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MaRDI profile type

MaRDI publication profile

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cites work

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Conjugate convex functions in optimal stochastic control

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Numerical Approximation of Some Linear Stochastic Partial Differential Equations Driven by Special Additive Noises

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On the existence of optimal controls for SPDEs with boundary noise and boundary control

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Adapted solution of a backward semilinear stochastic evolution equation

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Backward Stochastic Differential Equations in Finance

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Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation

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Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise

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Adapted solution of a backward stochastic differential equation

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Strong error estimates for a space-time discretization of the linear-quadratic control problem with the stochastic heat equation with linear noise

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Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation

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A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations

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Q4255599

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A numerical scheme for BSDEs

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Identifiers

zbMATH Open document ID

1515.65028

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Mathematics Subject Classification ID

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10.1007/S00245-023-10014-4

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Sitelinks

Mathematics(1 entry)

mardi Temporal semi-discretizations of a backward semilinear stochastic evolution equation