A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations

DOI10.3934/mcrf.2016013zbMath1349.65493arXiv1507.04100OpenAlexW2962976613MaRDI QIDQ326804

Yan Qing Wang

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

zbMATH Keywords

strong convergenceGalerkin methodbackward stochastic differential equationbackward stochastic parabolic PDE

Mathematics Subject Classification ID

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

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, Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach, Temporal semi-discretizations of a backward semilinear stochastic evolution equation, Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates, \(L^2\)-regularity of solutions to linear backward stochastic heat equations, and a numerical application, 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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