Approximation of BSDEs with super-linearly growing generators by Euler's polygonal line method: a simple proof of the existence
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Publication:2242896
DOI10.1016/j.sysconle.2021.104952zbMath1475.60107OpenAlexW3157289402MaRDI QIDQ2242896
Publication date: 10 November 2021
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2021.104952
backward stochastic differential equationsmonotonicity conditionBMO martingalessub-quadratic growthEuler's polygonal line method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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