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A mild approach to spatial discretization for backward stochastic differential equations in infinite dimensions
Esprit Sch Business, Tunisia.
Cadi Ayyad Univ, Morocco.
Cadi Ayyad Univ, Morocco;Mohammed VI Polytech Univ, Morocco.
Linnaeus University, Faculty of Technology, Department of Mathematics.ORCID iD: 0000-0002-7790-0539
2024 (English)In: Stochastic Analysis and Applications, ISSN 0736-2994, E-ISSN 1532-9356, Vol. 42, no 2, p. 98-120Article in journal (Refereed) Published
Abstract [en]

In this paper, we present the stability result of a spatial semi-discrete scheme to backward stochastic differential equations taking values in a Hilbert space. Under suitable assumptions of the final value and the drift, a convergence rate is established.
Place, publisher, year, edition, pages
Taylor & Francis Group, 2024. Vol. 42, no 2, p. 98-120
Keywords [en]
Backward stochastic differential equations, Hilbert spaces, extended martingale representation theorem
National Category
Mathematics
Research subject
Mathematics, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-121039DOI: 10.1080/07362994.2023.2203733ISI: 000980367400001Scopus ID: 2-s2.0-85158818433OAI: oai:DiVA.org:lnu-121039DiVA, id: diva2:1760589
Available from: 2023-05-30 Created: 2023-05-30 Last updated: 2024-01-11Bibliographically approved

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Pettersson, Roger

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