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Lp (1 < p ⩽ 2) solutions of one-dimensional BSDEs whose generator is weakly monotonic in y and non-Lipschitz in z.

Qianru WangJunxia LiaoShengjun Fan
Published in: Commun. Stat. Simul. Comput. (2019)
Keyphrases
  • stochastic differential equations
  • linear programming
  • optimal solution
  • lp relaxation
  • maximum a posteriori estimation
  • hidden markov models
  • markov chain
  • feasible solution