Discrete time approximation of fully nonlinear HJB...

The Annals of Applied Probability 2015 / 08 Vol. 25; Iss. 4

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

Kharroubi, Idris, Langrené, Nicolas, Pham, Huyên
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Volume:
25
Language:
english
Journal:
The Annals of Applied Probability
DOI:
10.1214/14-AAP1049
Date:
August, 2015
File:
PDF, 364 KB
english, 2015
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