Numerical schemes for multivalued backward stochastic differential systems

DOI10.2478/S11533-011-0131-YzbMATH Open1257.65006arXiv1101.1831OpenAlexW2056182604MaRDI QIDQ424108FDOQ424108

Authors: Lucian Maticiuc, Eduard Rotenstein 

Publication date: 31 May 2012

Published in: Central European Journal of Mathematics (Search for Journal in Brave)

Abstract: We define some approximation schemes for different kinds of generalized backward stochastic differential systems, considered in the Markovian framework. We propose a mixed approximation scheme for a decoupled system of forward reflected SDE and backward stochastic variational inequality. We use an Euler scheme type, combined with Yosida approximation techniques.

Full work available at URL: https://arxiv.org/abs/1101.1831

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zbMATH Keywords

Brownian motionerror estimateEuler schemestochastic differential equations (SDEs)Yosida approximationmultivalued backward SDEsreflected SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (8)

• Multivalued backward stochastic differential equations with time delayed generators
• Penalization schemes for multi-valued stochastic differential equations
• Backward stochastic variational inequalities on random interval
• A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
• An implicit numerical scheme for a class of backward doubly stochastic differential equations
• Mean square convergence of the numerical solution of random differential equations
• Multivalued stochastic differential equations: Convergence of a numerical scheme
• Anticipated backward stochastic variational inequalities with generalized reflection

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