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.