Discrete approximations of generalized RBSDE with random terminal time

DOI10.7151/DMPS.1145MaRDI QIDQ2870841zbMATH OpenOpenAlexFDO

Authors Katarzyna Janczak-Borkowska

Publication date 21 January 2014

Published in Discussiones Mathematicae. Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/9188060033310f76864027e1d71b6a5c152a4c75

zbMATH Keywords

viscosity solutiondiscrete approximationsreflected backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational methods for second-order elliptic equations (35J20) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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Cited in

(4)

• Generalized RBSDEs with Random Terminal Time and Applications to PDEs
• Mean square rate of convergence for random walk approximation of forward-backward SDEs
• Discrete approximations of reflected backward stochastic differential equations with random terminal time
• Numerical methods for backward stochastic differential equations: a survey

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