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Numerical schemes for multivalued backward stochastic differential systems

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Maticiuc L., Rotenstein E.

Open Mathematics

2012

tom 10

nr 2

693-702

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.

Ograniczanie wyników

1 Open Mathematics

1 Maticiuc L.

1 Rotenstein E.

1 2012

Wyniki wyszukiwania

Numerical schemes for multivalued backward stochastic differential systems