A first-order numerical scheme for forward-backward stochastic differential equations in bounded domains

DOI10.4208/JCM.1612-M2016-0582MaRDI QIDQ4688172zbMATH OpenOpenAlexFDO

Authors Jie Yang, Guannan Zhang, Weidong Zhao

Publication date 22 October 2018

Published in Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/5b73e097f57d1756f1452067d1fa400198875583

zbMATH Keywords

Dirichlet boundary conditionsexit timeforward-backward stochastic differential equationsimplicit Euler scheme

Mathematics Subject Classification ID

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

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Cited in

(14)

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• A multi-step scheme based on cubic spline for solving backward stochastic differential equations
• Data informed solution estimation for forward-backward stochastic differential equations
• A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
• Strong approximations of BSDEs in a domain
• Three ways to solve partial differential equations with neural networks — A review
• A Probabilistic Scheme for Semilinear Nonlocal Diffusion Equations with Volume Constraints
• A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates
• Probabilistic representation for a class of exponential elliptic operators and stochastic Runge-Kutta methods for semilinear stiff equations
• Prediction-correction method for nonlinear partial differential equations based on sparse grid interpolation techniques
• Error estimates of finite element methods for the nonlinear backward stochastic Stokes equations
• Revising recurrent neural networks to eliminate numerical derivatives in forming physics-informed loss terms with respect to time

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