Temporal Semi-discretizations of a Backward Semilinear Stochastic Evolution Equation
نویسندگان
چکیده
This paper studies the convergence of three temporal semi-discretizations for a backward semilinear stochastic evolution equation. For general terminal value and coefficient with Lipschitz continuity, first two is established, an explicit rate derived third semi-discretization. The semi-discretization applied to linear quadratic control problem, temporally semi-discrete approximation optimal established.
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ژورنال
عنوان ژورنال: Applied Mathematics and Optimization
سال: 2023
ISSN: ['0095-4616', '1432-0606']
DOI: https://doi.org/10.1007/s00245-023-10014-4