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

Hani Abidi,Abdelkarim Oualaid,Youssef Ouknine,Roger Pettersson

STOCHASTIC ANALYSIS AND APPLICATIONS（2024）

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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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Key words

Backward stochastic differential equations,Hilbert spaces,extended martingale representation theorem

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