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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 Wang
Junxia Liao
Shengjun Fan
Published in:
Commun. Stat. Simul. Comput. (2019)
Keyphrases
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stochastic differential equations
linear programming
optimal solution
lp relaxation
maximum a posteriori estimation
hidden markov models
markov chain
feasible solution