Numerical Schemes for Multivalued Backward Stochastic Differential Systems

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.

arXiv comment13 pages

References in corpus (1)

• Stochastic approach for a multivalued Dirichlet-Neumann problem

Cited by in corpus (2)

• Backward stochastic variational inequalities on random interval
• Multivalued Backward Stochastic Differential Equations with Time Delayed Generators