Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach

DOI10.1007/S40314-020-1121-0MaRDI QIDQ2176249zbMATH OpenOpenAlexFDO

Authors Hani Abidi, Roger Pettersson

Publication date 4 May 2020

Published in Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40314-020-1121-0

zbMATH Keywords

backward stochastic differential equationsHilbert spacesspatial approximation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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Cites work

• scientific article; zbMATH DE number 3797647 (Why is no real title available?)
• A concise course on stochastic partial differential equations
• A forward-backward stochastic algorithm for quasi-linear PDEs
• A numerical scheme for BSDEs
• A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
• Adapted solution of a backward semilinear stochastic evolution equation
• Adapted solution of a backward stochastic differential equation
• Calcul stochastique d�pendant d'un param�tre
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Error expansion for the discretization of backward stochastic differential equations
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
• Maximum principle for semilinear stochastic evolution control systems
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Stochastic maximum principle for distributed parameter systems
• Strong and weak approximation of semilinear stochastic evolution equations
• The forward-backward stochastic heat equation: numerical analysis and simulation

Cited in

(3)

• Discretization of backward semilinear stochastic evolution equations
• Temporal semi-discretizations of a backward semilinear stochastic evolution equation
• Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation

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