Approximation of BSDEs with super-linearly growing generators by Euler's polygonal line method: A simple proof of the existence

Li, YZ; Tang, SJ

Li, YZ (corresponding author), Fudan Univ, Sch Math Sci, Dept Finance & Control Sci, Shanghai 200433, Peoples R China.

SYSTEMS & CONTROL LETTERS, 2021; 153 ():

Abstract

This paper develops the Euler's polygonal line method for the backward stochastic differential equations (BSDEs) with super-linearly growing generator......

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