Approximation of BSDE with non Lipschitz coefficient

DOI10.1080/07362994.2021.1889380zbMath1480.60194OpenAlexW3134140667MaRDI QIDQ5024368

Katarzyna Jańczak-Borkowska, Dariusz Borkowski

Publication date: 31 January 2022

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

Full work available at URL: https://doi.org/10.1080/07362994.2021.1889380

zbMATH Keywords

backward stochastic differential equationLipschitz conditionEuler scheme

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Numerical methods for backward stochastic differential equations: a survey ⋮ Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients

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