Existence, minimality and approximation of solutions to BSDEs with convex drivers

DOI10.1016/j.spa.2011.12.008zbMath1252.60053arXiv1105.1471OpenAlexW2051836233MaRDI QIDQ424485

Mitja Stadje, Patrick Cheridito

Publication date: 1 June 2012

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

Full work available at URL: https://arxiv.org/abs/1105.1471

zbMATH Keywords

supersolutionsbackward stochastic difference equationsBackward stochastic differential equationsconvex driversdiscrete-time approximations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness ⋮ Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs ⋮ Minimal supersolutions of convex BSDEs ⋮ A simple constructive approach to quadratic BSDEs with or without delay ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Minimal supersolutions of BSDEs with lower semicontinuous generators ⋮ BSDEs with terminal conditions that have bounded Malliavin derivative ⋮ Numerical simulation of quadratic BSDEs

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