Discretization of backward semilinear stochastic evolution equations

Guichang Zhang

Stochastic Processes and their Applications, 2006, vol. 116, issue 8, 1097-1126

Abstract: The study on discretization and convergence of BSDEs rapidly developed in recent years. We especially mention the work of Ph. Briand, B. Delyon and J. Mémin [Donsker-type Theorem for BSDEs, Electron. Comm. Probab. 6 (2001) 1-14 (electronic)]. They got the convergence of the sequence Yn and pointed out that the weak convergence of filtrations was a powerful tool in this topic. In this paper, we first study the weak convergence of filtrations in Hilbert space. Using this tool, we get the convergence about discretization of backward semilinear stochastic evolution equations (BSSEEs for short).

Keywords: BSSEEs; Convergence; of; filtrations; Random; walk; Hilbert; space (search for similar items in EconPapers)
Date: 2006
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