Averaging Principle for Backward Stochastic Differential Equations

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...

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Main Authors: Yuanyuan Jing, Zhi Li
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
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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
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