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Splitting Schemes for Backward Stochastic Differential Equations
International Journal of Numerical Analysis and ModelingThis paper concerns splitting methods for solving backward stochastic differential equations (BSDEs). By splitting the original $d$-dimensional BSDE into $d$ BSDEs and approximating these split BSDEs, we propose splitting schemes for the BSDE. The splitting schemes are rigorously analyzed and first-order error estimates are theoretically obtained ...
Zheng, Luying, Zhao, Weidong
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On the backward stochastic differential equation with generator f(y)|z|2
Journal of Mathematical Analysis and Applications, 2021Lidong Zhang
exaly
Linear quadratic control of backward stochastic differential equation with partial information
Applied Mathematics and Computation, 2021Guangchen Wang, Zhiguo Yan
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Adapted solution of a backward stochastic differential equation
Systems and Control Letters, 1990E Pardoux
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Mean‐field backward stochastic differential equation with non‐Lipschitz coefficient
Asian Journal of Control, 2020Guangchen Wang, Huanjun Zhang
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Optimal control problem of backward stochastic differential delay equation under partial information
Systems and Control Letters, 2015Shuang Wu, Guangchen Wang
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