A forward-backward stochastic algorithm for quasi-linear PDEs

DOI10.1214/105051605000000674zbMath1097.65011arXivmath/0603250OpenAlexW2164907988MaRDI QIDQ2494576

François Delarue, Stéphane Menozzi

Publication date: 29 June 2006

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0603250

zbMATH Keywords

Brownian motionquasilinear parabolic equationsforward-backward stochastic differential equationstime-space discretization scheme

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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