A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
DOI10.3934/mcrf.2016013zbMath1349.65493arXiv1507.04100OpenAlexW2962976613MaRDI QIDQ326804
Publication date: 12 October 2016
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.04100
strong convergenceGalerkin methodbackward stochastic differential equationbackward stochastic parabolic PDE
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) 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
Cites Work
- Unnamed Item
- Numerical solutions of backward stochastic differential equations: a finite transposition method
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Infinite horizon BSDEs in infinite dimensions with continuous driver and applications
- A duality analysis on stochastic partial differential equations
- Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. I
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- A numerical scheme for BSDEs
- Path regularity for solutions of backward stochastic differential equations
- Finite element methods for parabolic stochastic PDE's
- Numerical method for backward stochastic differential equations
- Simulation of BSDEs by Wiener chaos expansion
- A forward scheme for backward SDEs
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Wiener chaos expansions and numerical solutions of randomly forced equations of fluid mechanics
- Numerical methods for forward-backward stochastic differential equations
- Semidiscrete Galerkin approximation for a linear stochastic parabolic partial differential equation driven by an additive noise
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Wiener Chaos Solutions for Linear Backward Stochastic Evolution Equations
- Maximum principle for semilinear stochastic evolution control systems
- Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise
- Stochastic partial differential equations and filtering of diffusion processes
- Adapted solution of a backward semilinear stochastic evolution equation
- Numerical methods for stochastic parabolic PDEs
- Nonlinear Filtering Revisited: A Spectral Approach
- Existence, uniqueness and space regularity of the adapted solutions of a backward spde
- Time-discretised Galerkin approximations of parabolic stochastic PDE's
- General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
- Numerical Algorithms for Forward-Backward Stochastic Differential Equations