Numerical approximations of coupled forward–backward SPDEs (Q5880399)

scientific article; zbMATH DE number 7661018

Language	Label	Description	Also known as
English	Numerical approximations of coupled forward–backward SPDEs	scientific article; zbMATH DE number 7661018

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instance of

scholarly article

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title

Numerical approximations of coupled forward–backward SPDEs (English)

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Stochastic Analysis and Applications

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publication date

9 March 2023

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full work available at URL

https://arxiv.org/abs/2012.07879

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zbMATH Keywords

weak and strong solution

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deep learning

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non-Markovianity

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finite element method

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numerical approximations

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coupled nonlinear forward-backward stochastic partial differential equations

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homogeneous Dirichlet boundary conditions

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MaRDI profile type

MaRDI publication profile

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cites work

Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions

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The Forward-Backward Stochastic Heat Equation: Numerical Analysis and Simulation

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Stochastic maximum principle for optimal control of SPDEs

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On semi-linear degenerate backward stochastic partial differential equations

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On the interpretation of the master equation

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The Master Equation and the Convergence Problem in Mean Field Games

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The Master Equation for Large Population Equilibriums

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Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients

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Stochastic Equations in Infinite Dimensions

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Strong solution of backward stochastic partial differential equations in $C ^{2}$ domains

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On $L_p $-Theory of Stochastic Partial Differential Equations in the Whole Space

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Approximation of backward stochastic partial differential equations by a splitting-up method

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Adapted solution of a degenerate backward SPDE, with applications

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Stochastic Hamilton–Jacobi–Bellman Equations

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Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations

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$L^2$-regularity of solutions to linear backward stochastic heat equations, and a numerical application

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Solvability of forward-backward stochastic partial differential equations

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Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation

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Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

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Solving high-dimensional partial differential equations using deep learning

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Convergence of the deep BSDE method for coupled FBSDEs

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Deep backward schemes for high-dimensional nonlinear PDEs

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Hörmander-type theorem for Itô processes and related backward SPDEs

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Semi-linear systems of backward stochastic partial differential equations in $\mathbb{R}^n$

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Multilayer feedforward networks are universal approximators

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A concise course on stochastic partial differential equations

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Some Results on Nonlinear Backward Stochastic Evolution Equations

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Stochastic evolution equations

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$W^{2, p}$-solutions of parabolic SPDEs in general domains

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Elliptic partial differential equations of second order

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Identifiers

DOI

10.1080/07362994.2021.2011318

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5880399