Numerical Schemes for Multivalued Backward Stochastic Differential Systems

Details Numerical Schemes for Multivalued Backward Stochastic Differential Systems Numerical Schemes for Multivalued Backward Stochastic Differential Systems

2011-01-10

arxiv.org/abs/1101.1831v1

Mathematics

Probability

13 pages

Scientific paper

10.2478/s11533-011-0131-y

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.

Affiliated with

Also associated with

No associations

Rating

Numerical Schemes for Multivalued Backward Stochastic Differential Systems does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Numerical Schemes for Multivalued Backward Stochastic Differential Systems, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Numerical Schemes for Multivalued Backward Stochastic Differential Systems will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-456591