Discrete approximations of generalized RBSDE with random terminal time

DOI10.7151/DMPS.1145zbMATH Open1311.60062OpenAlexW2074578613MaRDI QIDQ2870841FDOQ2870841

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

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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)

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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