Discrete approximations of generalized RBSDE with random terminal time

DOI10.7151/dmps.1145zbMath1311.60062OpenAlexW2074578613MaRDI QIDQ2870841

Katarzyna Jańczak-Borkowska

Publication date: 21 January 2014

Published in: Discussiones Mathematicae Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9188060033310f76864027e1d71b6a5c152a4c75

zbMATH Keywords

viscosity solutiondiscrete approximationsreflected backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Variational methods for second-order elliptic equations (35J20) Stochastic integral equations (60H20)

Related Items (2)

Numerical methods for backward stochastic differential equations: a survey ⋮ Mean square rate of convergence for random walk approximation of forward-backward SDEs

This page was built for publication: Discrete approximations of generalized RBSDE with random terminal time