Averaging Principle for Backward Stochastic Differential Equations
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 origi...
Main Authors: | , |
---|---|
Format: | Article |
Language: | English |
Published: |
Hindawi Limited
2021-01-01
|
Series: | Discrete Dynamics in Nature and Society |
Online Access: | http://dx.doi.org/10.1155/2021/6615989 |
id |
doaj-bc26816807b540318044f5474c7b791f |
---|---|
record_format |
Article |
spelling |
doaj-bc26816807b540318044f5474c7b791f2021-03-15T00:00:40ZengHindawi LimitedDiscrete Dynamics in Nature and Society1607-887X2021-01-01202110.1155/2021/6615989Averaging Principle for Backward Stochastic Differential EquationsYuanyuan Jing0Zhi Li1School of Information and MathematicsSchool of Information and MathematicsThe 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.http://dx.doi.org/10.1155/2021/6615989 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Yuanyuan Jing Zhi Li |
spellingShingle |
Yuanyuan Jing Zhi Li Averaging Principle for Backward Stochastic Differential Equations Discrete Dynamics in Nature and Society |
author_facet |
Yuanyuan Jing Zhi Li |
author_sort |
Yuanyuan Jing |
title |
Averaging Principle for Backward Stochastic Differential Equations |
title_short |
Averaging Principle for Backward Stochastic Differential Equations |
title_full |
Averaging Principle for Backward Stochastic Differential Equations |
title_fullStr |
Averaging Principle for Backward Stochastic Differential Equations |
title_full_unstemmed |
Averaging Principle for Backward Stochastic Differential Equations |
title_sort |
averaging principle for backward stochastic differential equations |
publisher |
Hindawi Limited |
series |
Discrete Dynamics in Nature and Society |
issn |
1607-887X |
publishDate |
2021-01-01 |
description |
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. |
url |
http://dx.doi.org/10.1155/2021/6615989 |
work_keys_str_mv |
AT yuanyuanjing averagingprincipleforbackwardstochasticdifferentialequations AT zhili averagingprincipleforbackwardstochasticdifferentialequations |
_version_ |
1714785366464004096 |