The Forward-Backward Stochastic Heat Equation: Numerical Analysis and Simulation
DOI10.1137/15M1022951zbMath1346.60106OpenAlexW2515709325MaRDI QIDQ2818259
Publication date: 7 September 2016
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/15m1022951
stochastic optimal controlspace discretizationstochastic gradient methodpartitioning estimationleast squares Monte Carlo methodforward-backward stochastic heat equation
Monte Carlo methods (65C05) Optimal stochastic control (93E20) 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)
Related Items (17)
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