Averaging Principle for Backward Stochastic Differential Equations

Yuanyuan Jing, Zhi Li and Nikos I. Karachalios

Discrete Dynamics in Nature and Society, 2021, vol. 2021, 1-10

Abstract: The averaging principle for BSDEs and one-barrier RBSDEs, with Lipschitz coefficients, is investigated. An averaged BSDEs for the original BSDEs is proposed, as well as the one-barrier RBSDEs, and their solutions are quantitatively compared. Under some appropriate assumptions, the solutions to original systems can be approximated by the solutions to averaged stochastic systems in the sense of mean square.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:6615989

DOI: 10.1155/2021/6615989

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