Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
From MaRDI portal
Publication:1615909
DOI10.1016/j.spa.2017.12.004zbMath1401.60113arXiv1603.03637MaRDI QIDQ1615909
Abdoulaye Soumana Hima, Ying Hu, Yi-Qing Lin
Publication date: 31 October 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.03637
discretization; backward stochastic differential equations; quadratic growth; fully nonlinear PDEs; \(G\)-Brownian motion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
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