Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation

DOI10.1016/j.spa.2017.12.004zbMath1401.60113arXiv1603.03637OpenAlexW2963020957MaRDI QIDQ1615909

Abdoulaye Soumana Hima, Ying Hu, Yi-Qing Lin

Publication date: 31 October 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.03637

zbMATH Keywords

discretizationbackward stochastic differential equationsquadratic growthfully nonlinear PDEs\(G\)-Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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