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

DOI10.1137/15M1022951zbMath1346.60106OpenAlexW2515709325MaRDI QIDQ2818259

Andreas Prohl, Thomas Dunst

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

zbMATH Keywords

stochastic optimal controlspace discretizationstochastic gradient methodpartitioning estimationleast squares Monte Carlo methodforward-backward stochastic heat equation

Mathematics Subject Classification ID

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)

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Numerical approximations of coupled forward–backward SPDEs ⋮ Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation ⋮ Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise ⋮ Determination of the solution of a stochastic parabolic equation by the terminal value ⋮ Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach ⋮ On stochastic optimal control in ferromagnetism ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Temporal semi-discretizations of a backward semilinear stochastic evolution equation ⋮ Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation ⋮ A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates ⋮ An averaged space-time discretization of the stochastic \(p\)-Laplace system ⋮ Stochastic optimal control of finite ensembles of nanomagnets ⋮ Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates ⋮ A posteriori error estimates for non-stationary non-linear convection-diffusion equations ⋮ \(L^2\)-regularity of solutions to linear backward stochastic heat equations, and a numerical application ⋮ Adaptive concepts for stochastic partial differential equations ⋮ 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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