We define approximation schemes for generalized backward stochastic differential systems, considered in the Markovian framework. More precisely, we propose a mixed approximation scheme for the following backward stochastic variational inequality: where ∂φ is the subdifferential operator of a convex lower semicontinuous function φ and (X t)t∈[0;T] is the unique solution of a forward stochastic differential equation. We use an Euler type scheme for the system of decoupled forward-backward variational inequality in conjunction with Yosida approximation techniques.
@article{bwmeta1.element.doi-10_2478_s11533-011-0131-y,
author = {Lucian Maticiuc and Eduard Rotenstein},
title = {Numerical schemes for multivalued backward stochastic differential systems},
journal = {Open Mathematics},
volume = {10},
year = {2012},
pages = {693-702},
zbl = {1257.65006},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_2478_s11533-011-0131-y}
}
Lucian Maticiuc; Eduard Rotenstein. Numerical schemes for multivalued backward stochastic differential systems. Open Mathematics, Tome 10 (2012) pp. 693-702. http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_2478_s11533-011-0131-y/
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