A mild approach to spatial discretization for backward stochastic differential equations in infinite dimensions

Hani Abidia Department of Informatics and Applied Mathematics, Esprit School of Business, Tunis, TunisiaView further author information

Abdelkarim Oualaidb Department of Mathematics, Cadi Ayyad University, Marrakech, MoroccoView further author information

Youssef Ouknineb Department of Mathematics, Cadi Ayyad University, Marrakech, Morocco;c Africa Business School, Mohammed VI Polytechnic University, Ben Guerir, MoroccoView further author information

Roger Petterssond Department of Mathematics, Linnaeus University, Växjö, SwedenCorrespondence[email protected]

https://orcid.org/0000-0002-7790-0539 View further author information

Abstract

In this paper, we present the stability result of a spatial semi-discrete scheme to backward stochastic differential equations taking values in a Hilbert space. Under suitable assumptions of the final value and the drift, a convergence rate is established.

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Funding

This work was supported by the Erasmus + under Grant 2019-1-SE01-KA107-060296.

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A mild approach to spatial discretization for backward stochastic differential equations in infinite dimensions

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A mild approach to spatial discretization for backward stochastic differential equations in infinite dimensions

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