Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
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Publication:2354898
DOI10.1214/14-AAP1049zbMath1323.65076arXiv1311.4505MaRDI QIDQ2354898
Nicolas Langrené, Idris Kharroubi, Huyên Pham
Publication date: 27 July 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.4505
optimal controlconvergenceHamilton-Jacobi-Bellman equationbackward stochastic differential equationsdiscrete time approximationsamplenonlinear degenerate PDE
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