Averaging Principle for BSDEs and one Barrier Reflected BSDEs With Non-Liphschitz Coefficients

Ibrahima San´e, Cl´ement Manga and Sadibou Aidara

Journal of Mathematics Research, 2024, vol. 16, issue 2, 62

Abstract: In this paper, the averaging principle for BSDEs and one barrier RBSDEs, with non 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: 2024
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ccsenet.org/journal/index.php/jmr/article/download/0/0/50144/54265 (application/pdf)
https://ccsenet.org/journal/index.php/jmr/article/view/0/50144 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibn:jmrjnl:v:16:y:2024:i:2:p:62

Access Statistics for this article

More articles in Journal of Mathematics Research from Canadian Center of Science and Education Contact information at EDIRC.
Bibliographic data for series maintained by Canadian Center of Science and Education (jmr@ccsenet.org).