A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations
From MaRDI portal
Publication:640015
DOI10.1016/j.matpur.2011.04.002zbMath1254.60074arXiv1008.0353MaRDI QIDQ640015
Publication date: 12 October 2011
Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1008.0353
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
35K55: Nonlinear parabolic equations
65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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