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Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps

Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps

Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
  • 期刊名称The Annals of Applied Probability
  • 作者Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
  • 卷第25卷
  • 期第4期
  • 印刷ISSN1050-5164
  • 文件大小363.51KB
  • 发表时间2015-08
  • DOI10.1214/14-AAP1049
  • 页码2301-2338
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