Finite element methods for nonlinear backward stochastic partial differential equations and their error estimates
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Publication:5157002
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) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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Cites work
- scientific article; zbMATH DE number 1099342 (Why is no real title available?)
- A Fourier cosine method for an efficient computation of solutions to BSDEs
- A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
- A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations
- A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
- A duality analysis on stochastic partial differential equations
- A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
- Adapted solution of a backward semilinear stochastic evolution equation
- Adapted solution of a backward stochastic differential equation
- Adapted solution of a degenerate backward SPDE, with applications
- Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
- Deferred Correction Methods for Forward Backward Stochastic Differential Equations
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
- Existence, uniqueness and space regularity of the adapted solutions of a backward spde
- Galerkin Finite Element Methods for Parabolic Problems
- High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control
- Infinite horizon BSDEs in infinite dimensions with continuous driver and applications
- Maximum principle for semilinear stochastic evolution control systems
- New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
- On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces
- On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
- Stochastic Equations in Infinite Dimensions
- Stochastic Hamilton–Jacobi–Bellman Equations
- Stochastic maximum principle for distributed parameter systems
- Stochastic partial differential equations and filtering of diffusion processes
- Strong and weak approximation of semilinear stochastic evolution equations
- Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains
- Strong, mild and weak solutions of backward stochastic evolution equations
- The Stability in L p and W p 1 of the L 2 -Projection onto Finite Element Function Spaces
- The forward-backward stochastic heat equation: numerical analysis and simulation
- Time discretization and Markovian iteration for coupled FBSDEs
Cited in
(8)- A probabilistic numerical method for fully nonlinear parabolic PDEs
- A high-order numerical method for BSPDEs with applications to mathematical finance
- Numerical approximations of coupled forward–backward SPDEs
- A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates
- A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
- The Convergence of Euler-Maruyama Method of Nonlinear Variable-Order Fractional Stochastic Differential Equations
- A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients
- On convergence of splitting-up algorithm for stochastic partial differential equations with jump
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