Numerical solution of quasilinear parabolic equations and backward stochastic differential equations

DOI10.1515/156939803770736015MaRDI QIDQ4463680zbMATH OpenOpenAlexFDO

Authors R. Makarov

Publication date 27 May 2004

Published in Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/156939803770736015

zbMATH Keywords

backword stochastic differential equationsCauchy problemlayer methodnonlinear boundary value problemsnumerical solutionquasilinear parabolic equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 711262 (Why is no real title available?)
• Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations
• Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

Cited in

(15)

• A method for studying the variance of weight estimates in numerical statistical modeling
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
• A monotone scheme for high-dimensional fully nonlinear PDEs
• A probabilistic method for numerical solution of quasi-linear parabolic equations
• A forward-backward stochastic algorithm for quasi-linear PDEs
• Smoothing of quasilinear parabolic operators and applications to forward-backward stochastic systems
• Numerical simulation of quadratic BSDEs
• Layer methods for stochastic Navier-Stokes equations using simplest characteristics
• A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
• Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations
• The stochastic numerical algorithms for a class of parabolic IVPs
• scientific article; zbMATH DE number 1735428 (Why is no real title available?)
• Numerical methods for certain classes of Markovian backward stochastic differential equations and quasi-linear parabolic partial differential equations via Girsanov's theorem
• NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
• Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers

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