Temporal semi-discretizations of a backward semilinear stochastic evolution equation
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Publication:6166347
DOI10.1007/S00245-023-10014-4zbMATH Open1515.65028arXiv2106.13428MaRDI QIDQ6166347FDOQ6166347
Publication date: 6 July 2023
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2106.13428
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discretizationBrownian motionstochastic linear quadratic controlbackward semilinear stochastic evolution equation
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