Temporal semi-discretizations of a backward semilinear stochastic evolution equation
Numerical Analysis
2022-08-30 v3 Numerical Analysis
Optimization and Control
Probability
Abstract
This paper studies the convergence of three temporal semi-discretizations for a backward semilinear stochastic evolution equation. For general terminal value and general coefficient with Lipschitz continuity, the convergence of the first two temporal semi-discretizations is established, and an explicit convergence rate is derived for the third temporal semi-discretization. The third temporal semi-discretization is applied to a general stochastic linear quadratic control problem, and the convergence of a temporally semi-discrete approximation to the optimal control is established.
Keywords
Cite
@article{arxiv.2106.13428,
title = {Temporal semi-discretizations of a backward semilinear stochastic evolution equation},
author = {Binjie Li and Xiaoping Xie},
journal= {arXiv preprint arXiv:2106.13428},
year = {2022}
}