Weak approximation of second-order BSDEs

DOI10.1214/14-AAP1055zbMath1325.60117arXiv1310.1173OpenAlexW2119111478MaRDI QIDQ748313

Dylan Possamaï, Xiaolu Tan

Publication date: 20 October 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.1173

zbMATH Keywords

robustnessmartingalesbackward stochastic differential equationsweak approximationnumerical scheme

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15) Martingales with continuous parameter (60G44) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

On the convergence of monotone schemes for path-dependent PDEs ⋮ Probabilistic interpretation for solutions of fully nonlinear stochastic pdes ⋮ Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints ⋮ Stability results for martingale representations: The general case ⋮ Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps

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