Finite element methods for nonlinear backward stochastic partial differential equations and their error estimates

DOI10.4208/AAMM.OA-2019-0345zbMATH Open1488.60168MaRDI QIDQ5157002FDOQ5157002

Xu Yang, Weidong Zhao

Publication date: 12 October 2021

Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

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zbMATH Keywords

backward stochastic partial differential equationserror estimatefinite element method

Mathematics Subject Classification ID

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)

Cites Work

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• Title not available (Why is that?)
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• Time discretization and Markovian iteration for coupled FBSDEs
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• Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
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• Strong, mild and weak solutions of backward stochastic evolution equations

Cited In (7)

• A probabilistic numerical method for fully nonlinear parabolic PDEs
• Numerical approximations of coupled forward–backward SPDEs
• A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates
• 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
• A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance
• On convergence of splitting-up algorithm for stochastic partial differential equations with jump

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