Open AccessSome analytic approximations for backward stochastic differential equations
Author(s) -
Jasmina Ðordjevic
Publication year - 2020
Publication title -
filomat
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.449
H-Index - 34
eISSN - 2406-0933
pISSN - 0354-5180
DOI - 10.2298/fil2007235d
Subject(s) - mathematics , lipschitz continuity , sequence (biology) , moment (physics) , stochastic differential equation , differential equation , type (biology) , iterative method , mathematical analysis , mathematical optimization , ecology , genetics , physics , classical mechanics , biology
We consider an analytic iterative method to approximate the solution of the backward stochastic differential equation of general type. More precisely, we define a sequence of approximate equations and give sufficient conditions under which the approximate solutions converge with probability one and in pth moment sense, p ? 2, to the solution of the initial equation under Lipschitz condition. The Z-algorithm for this iterative method is introduced and some examples are presented to illustrate the theory.