Numerical Schemes for Multivalued Backward Stochastic Differential Systems

Lucian Maticiuc; Eduard Rotenstein

doi:10.2478/s11533-011-0131-y

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arXiv · 1101.1831

Numerical Schemes for Multivalued Backward Stochastic Differential Systems

Lucian Maticiuc·Eduard Rotenstein

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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.

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Lucian Maticiuc, Eduard Rotenstein. 2011-01-10. Numerical Schemes for Multivalued Backward Stochastic Differential Systems. https://doi.org/10.2478/s11533-011-0131-y

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