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arXiv · 2106.13428

Temporal semi-discretizations of a backward semilinear stochastic evolution equation

Binjie Li·Xiaoping Xie
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Abstract

This paper studies the convergence of three temporal semi-discretizations for a backward semilinear stochastic evolution equation. For general terminal value and general coefficient with Lipschitz continuity, the convergence of the first two temporal semi-discretizations is established, and an explicit convergence rate is derived for the third temporal semi-discretization. The third temporal semi-discretization is applied to a general stochastic linear quadratic control problem, and the convergence of a temporally semi-discrete approximation to the optimal control is established.

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Binjie Li, Xiaoping Xie. 2021-06-25. Temporal semi-discretizations of a backward semilinear stochastic evolution equation. https://arxiv.org/abs/2106.13428

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