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Approximation of BSDE with non Lipschitz coefficient
Stochastic Analysis and Applications ( IF 0.8 ) Pub Date : 2021-03-05 , DOI: 10.1080/07362994.2021.1889380 D. Borkowski 1 , K. Jańczak-Borkowska 2
中文翻译:
具有非 Lipschitz 系数的 BSDE 逼近
更新日期:2021-03-05
Stochastic Analysis and Applications ( IF 0.8 ) Pub Date : 2021-03-05 , DOI: 10.1080/07362994.2021.1889380 D. Borkowski 1 , K. Jańczak-Borkowska 2
Affiliation
Abstract
In this paper we study the discrete approximation of backward stochastic differential equations. Under a kind of non-Lipschitz assumption we prove the convergence of the proposed discrete scheme to the solution of backward stochastic differential equation.
中文翻译:
具有非 Lipschitz 系数的 BSDE 逼近
摘要
在本文中,我们研究了后向随机微分方程的离散逼近。在一种非Lipschitz 假设下,我们证明了所提出的离散方案对后向随机微分方程解的收敛性。