Temporal semi-discretizations of a backward semilinear stochastic evolution equation
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Publication:6166347
discretizationBrownian motionstochastic linear quadratic controlbackward semilinear stochastic evolution equation
Numerical optimization and variational techniques (65K10) Existence of optimal solutions to problems involving randomness (49J55) Discrete approximations in optimal control (49M25) Linear-quadratic optimal control problems (49N10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: This paper studies the convergence of three temporal semi-discretizations for a backward semilinear stochastic evolution equation. For general terminal value and general coefficient with Lipschitz continuity, the convergence of the first two temporal semi-discretizations is established, and an explicit convergence rate is derived for the third temporal semi-discretization. The third temporal semi-discretization is applied to a general stochastic linear quadratic control problem, and the convergence of a temporally semi-discrete approximation to the optimal control is established.
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