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Article
Publication date: 18 January 2024

Hani Abidi, Rim Amami, Roger Pettersson and Chiraz Trabelsi

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…

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Abstract

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.

Details

Arab Journal of Mathematical Sciences, vol. 31 no. 1
Type: Research Article
ISSN: 1319-5166

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