L2-convergence of Yosida approximation for semi-linear backward stochastic differential equation with jumps in infinite dimension
Purpose – The main motivation of this paper is to present the Yosida approximation of a semi-linear backward stochastic differential equation in infinite dimension. Under suitable assumption and condition, an L2-convergence rate is established. Design/methodology/approach – The authors establish a...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Emerald Publishing
2025-01-01
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| Series: | Arab Journal of Mathematical Sciences |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/AJMS-09-2023-0024/full/pdf |
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| Summary: | Purpose – The main motivation of this paper is to present the Yosida approximation of a semi-linear backward stochastic differential equation in infinite dimension. Under suitable assumption and condition, an L2-convergence rate is established. Design/methodology/approach – The authors establish a result concerning the L2-convergence rate of the solution of backward stochastic differential equation with jumps with respect to the Yosida approximation. Findings – The authors carry out a convergence rate of Yosida approximation to the semi-linear backward stochastic differential equation in infinite dimension. Originality/value – In this paper, the authors present the Yosida approximation of a semi-linear backward stochastic differential equation in infinite dimension. Under suitable assumption and condition, an L2-convergence rate is established. |
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| ISSN: | 1319-5166 2588-9214 |