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

DOI10.1016/J.CRMA.2011.07.011zbMATH Open1225.60119arXiv1106.0813OpenAlexW2963062973MaRDI QIDQ639632FDOQ639632

Authors: Penghui Wang, Xu Zhang 

Publication date: 22 September 2011

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

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.

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

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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)

Cites Work

• A numerical scheme for BSDEs
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• 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 (14)

• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
• Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise
• 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
• Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation
• Numerical method for backward stochastic differential equations
• \(L^2\)-regularity of solutions to linear backward stochastic heat equations, and a numerical application
• A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
• Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions
• Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
• Numerical solution of quasilinear parabolic equations and backward stochastic differential equations
• Numerical method for reflected backward stochastic differential equations
• Probabilistic methods for semilinear partial differential equations. Applications to finance
• Analysis on the stability of numerical schemes for a class of stochastic partial differential systems

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