Averaging principle for backward stochastic differential equations (Q2662996)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Averaging principle for backward stochastic differential equations |
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Averaging principle for backward stochastic differential equations (English)
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15 April 2021
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Summary: The averaging principle for BSDEs and one-barrier RBSDEs, with Lipschitz coefficients, is investigated. An averaged BSDEs for the original BSDEs is proposed, as well as the one-barrier RBSDEs, and their solutions are quantitatively compared. Under some appropriate assumptions, the solutions to original systems can be approximated by the solutions to averaged stochastic systems in the sense of mean square.
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