A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations

DOI10.3934/MCRF.2016013zbMATH Open1349.65493arXiv1507.04100OpenAlexW2962976613MaRDI QIDQ326804FDOQ326804

Yanqing Wang

Publication date: 12 October 2016

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Abstract: In this paper, we present a numerical scheme to solve the initial-boundary value problem for backward stochastic partial differential equations of parabolic type. Based on the Galerkin method, we approximate the original equation by a family of backward stochastic differential equations (BSDEs, for short), and then solve these BSDEs by the time discretization. Combining the truncation with respect to the spatial variable and the backward Euler method on time variable, we obtain the global $L^2$ error estimate.

Full work available at URL: https://arxiv.org/abs/1507.04100

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zbMATH Keywords

backward stochastic differential equationGalerkin methodstrong convergencebackward stochastic parabolic PDE

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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Cited In (11)

• Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise
• A stability theorem for solutions to backward stochastic 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
• Temporal semi-discretizations of a backward semilinear stochastic evolution equation
• Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation
• \(L^2\)-regularity of solutions to linear backward stochastic heat equations, and a numerical application
• Approximate solution of the backward problem for Kirchhoff's model of parabolic type with discrete random noise
• Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates
• Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach
• A Weak Galerkin Method with RT Elements for a Stochastic Parabolic Differential Equation
• Numerical solution of quasilinear parabolic equations and backward stochastic differential equations

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