Numerical solutions of backward stochastic differential equations: a finite transposition method

DOI10.1016/J.CRMA.2011.07.011MaRDI QIDQ639632zbMATHOpenAlexFDO

Authors Penghui Wang, Xu Zhang

Publication date 22 September 2011

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.0813

zbMATH Keywords

backward stochastic differential equationsclassical finite element method

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic integral equations (60H20)

Abstract: In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.

Recommendations

• scientific article; zbMATH DE number 1069628
• Numerical method for backward stochastic differential equations
• Numerical methods for backward stochastic differential equations: a survey
• Numerical methods for forward backward stochastic differential equations
• Numerical methods for forward-backward stochastic differential equations
• A numerical scheme for backward doubly stochastic differential equations
• Transposition method for backward stochastic evolution equations revisited, and its application
• Numerical method for reflected backward stochastic differential equations

Cites work

• scientific article; zbMATH DE number 49187 (Why is no real title available?)
• scientific article; zbMATH DE number 3596197 (Why is no real title available?)
• scientific article; zbMATH DE number 627771 (Why is no real title available?)
• A numerical scheme for BSDEs
• Adapted solution of a backward stochastic differential equation
• Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations
• Numerical method for backward stochastic differential equations
• Recent developments in spectral stochastic methods for the numerical solution of stochastic partial differential equations
• Well-posedness of backward stochastic differential equations with general filtration

Cited in

(19)

• A Fourier transform method for solving backward stochastic differential equations
• Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation
• Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation
• Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise
• A new numerical method for 1-D backward stochastic differential equations without using conditional expectations
• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
• Numerical solution of quasilinear parabolic equations and backward stochastic differential equations
• Numerical method for backward stochastic differential equations
• Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions
• Numerical method for reflected backward stochastic differential equations
• \(L^2\)-regularity of solutions to linear backward stochastic heat equations, and a numerical application
• Probabilistic methods for semilinear partial differential equations. Applications to finance
• Second order necessary conditions for optimal control problems of stochastic evolution equations
• Finite element methods for nonlinear backward stochastic partial differential equations and their error estimates
• Iterative improvement of lower and upper bounds for backward SDEs
• A convolution method for numerical solution of backward stochastic differential equations
• Analysis on the stability of numerical schemes for a class of stochastic partial differential systems
• A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models

This page was built for publication: Numerical solutions of backward stochastic differential equations: a finite transposition method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q639632)