A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations (Q326804): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations	scientific article

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scholarly article

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A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations (English)

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Mathematical Control and Related Fields

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publication date

12 October 2016

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full work available at URL

https://arxiv.org/abs/1507.04100

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zbMATH Keywords

backward stochastic parabolic PDE

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backward stochastic differential equation

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Galerkin method

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strong convergence

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MaRDI profile type

MaRDI publication profile

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A forward scheme for backward SDEs

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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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Simulation of BSDEs by Wiener chaos expansion

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Numerical methods for forward-backward stochastic differential equations

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Infinite horizon BSDEs in infinite dimensions with continuous driver and applications

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A regression-based Monte Carlo method to solve backward stochastic differential equations

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Time-discretised Galerkin approximations of parabolic stochastic PDE's

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Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I

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Wiener chaos expansions and numerical solutions of randomly forced equations of fluid mechanics

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Malliavin calculus for backward stochastic differential equations and application to numerical solutions

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Maximum principle for semilinear stochastic evolution control systems

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Adapted solution of a backward semilinear stochastic evolution equation

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Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise

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Nonlinear Filtering Revisited: A Spectral Approach

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General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions

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Numerical method for backward stochastic differential equations

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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Path regularity for solutions of backward stochastic differential equations

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Numerical Algorithms for Forward-Backward Stochastic Differential Equations

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Stochastic partial differential equations and filtering of diffusion processes

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Numerical methods for stochastic parabolic PDEs

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Existence, uniqueness and space regularity of the adapted solutions of a backward spde

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Finite element methods for parabolic stochastic PDE's

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Numerical solutions of backward stochastic differential equations: a finite transposition method

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Semidiscrete Galerkin approximation for a linear stochastic parabolic partial differential equation driven by an additive noise

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Wiener Chaos Solutions for Linear Backward Stochastic Evolution Equations

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A numerical scheme for BSDEs

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A duality analysis on stochastic partial differential equations

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.3934/MCRF.2016013

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Sitelinks

Mathematics(1 entry)

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