Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
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Publication:1615909
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
discretizationbackward stochastic differential equationsquadratic growthfully nonlinear PDEs\(G\)-Brownian motion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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