84 research outputs found
Numerical Schemes for Multivalued Backward Stochastic Differential Systems
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.Comment: 13 page
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