A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates

DOI10.1051/M2AN/2023100OpenAlexW4389504568MaRDI QIDQ6186533FDOQ6186533

Authors: Yongwang Sun, Weidong Zhao, Wenju Zhao 

Publication date: 2 February 2024

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/m2an/2023100

zbMATH Keywords

backward stochastic partial differential equationsfinite element method\(\theta\)-scheme error estimates

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Parallel numerical computation (65Y05) Brownian motion (60J65) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

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