Numerical schemes for multivalued backward stochastic differential systems

• Autorzy: Lucian Maticiuc , Eduard Rotenstein
• Języki publikacji: EN

Abstrakty

EN

We define approximation schemes for generalized backward stochastic differential systems, considered in the Markovian framework. More precisely, we propose a mixed approximation scheme for the following backward stochastic variational inequality: $$dY_t + F(t,X_t ,Y_t ,Z_t )dt \in \partial \phi (Y_t )dt + Z_t dW_t ,$$ where ∂φ is the subdifferential operator of a convex lower semicontinuous function φ and (X t)t∈[0;T] is the unique solution of a forward stochastic differential equation. We use an Euler type scheme for the system of decoupled forward-backward variational inequality in conjunction with Yosida approximation techniques.

Słowa kluczowe

EN

Euler scheme; Yosida approximation; Error estimate; Multivalued backward SDEs; Reflected SDEs

Kategorie tematyczne

• 65C99: None of the above, but in this section
• 60H30: Applications of stochastic analysis (to PDE, etc.)

• Wydawca: De Gruyter Open
• Czasopismo: Open Mathematics
• Rocznik: 2012
• Tom: 10
• Numer: 2
• Strony: 693-702

Daty

wydano

2012-04-01

online

2012-01-18

Twórcy

autor

Lucian Maticiuc

• Alexandru Ioan Cuza University

autor

Eduard Rotenstein

• Alexandru Ioan Cuza University

Bibliografia

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Identyfikatory

DOI

10.2478/s11533-011-0131-y