Numerical Schemes for Multivalued Backward Stochastic Differential Systems
Probability
2015-11-20 v1
Abstract
We define some approximation schemes for different kinds of generalized backward stochastic differential systems, considered in the Markovian framework. We propose a mixed approximation scheme for a decoupled system of forward reflected SDE and backward stochastic variational inequality. We use an Euler scheme type, combined with Yosida approximation techniques.
Keywords
Cite
@article{arxiv.1101.1831,
title = {Numerical Schemes for Multivalued Backward Stochastic Differential Systems},
author = {Lucian Maticiuc and Eduard Rotenstein},
journal= {arXiv preprint arXiv:1101.1831},
year = {2015}
}
Comments
13 pages