L2-convergence of Yosida approximation for semi-linear backward stochastic differential equation with jumps in infinite dimension

•  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.

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NATURVETENSKAP  -- Matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics (hsv//eng)

Nyckelord

Mathematics

Matematik

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