Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation (Q5883143)

scientific article; zbMATH DE number 7669349

Language	Label	Description	Also known as
English	Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation	scientific article; zbMATH DE number 7669349

Statements

instance of

scholarly article

0 references

title

Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation (English)

0 references

0 references

0 references

SIAM Journal on Control and Optimization

0 references

publication date

29 March 2023

0 references

full work available at URL

https://arxiv.org/abs/2105.10130

0 references

zbMATH Keywords

backward semilinear stochastic parabolic equation

0 references

Brownian motion

0 references

semidiscretization

0 references

convergence

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises

0 references

Stochastic maximum principle for distributed parameter systems

0 references

Conjugate convex functions in optimal stochastic control

0 references

An Introductory Approach to Duality in Optimal Stochastic Control

0 references

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

0 references

Strong convergence rates of semidiscrete splitting approximations for the stochastic Allen–Cahn equation

0 references

The Mathematical Theory of Finite Element Methods

0 references

Applied functional analysis. Functional analysis, Sobolev spaces and elliptic differential equations

0 references

Approximating Stochastic Evolution Equations with Additive White and Rough Noises

0 references

Rates of Convergence for Discretizations of the Stochastic Incompressible Navier--Stokes Equations

0 references

Linear Multistep Schemes for BSDEs

0 references

Numerical Stability Analysis of the Euler Scheme for BSDEs

0 references

Strong and Weak Convergence Rates of a Spatial Approximation for Stochastic Partial Differential Equation with One-sided Lipschitz Coefficient

0 references

Strong Convergence of Full Discretization for Stochastic Cahn--Hilliard Equation Driven by Additive Noise

0 references

Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients

0 references

Numerical Approximation of Some Linear Stochastic Partial Differential Equations Driven by Special Additive Noises

0 references

The Forward-Backward Stochastic Heat Equation: Numerical Analysis and Simulation

0 references

On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

0 references

Stochastic Optimal Control in Infinite Dimension

0 references

Finite Element Methods for the Stochastic Allen--Cahn Equation with Gradient-type Multiplicative Noise

0 references

Optimally convergent mixed finite element methods for the stochastic Stokes equations

0 references

Stochastic Differential Equations in Infinite Dimensions

0 references

On the Backward Stochastic Riccati Equation in Infinite Dimensions

0 references

Optimization with PDE Constraints

0 references

Malliavin calculus for backward stochastic differential equations and application to numerical solutions

0 references

Adapted solution of a backward semilinear stochastic evolution equation

0 references

Path regularity and explicit convergence rate for BSDE with truncated quadratic growth

0 references

Backward Stochastic Differential Equations in Finance

0 references

Optimal error estimates of Galerkin finite element methods for stochastic partial differential equations with multiplicative noise

0 references

Strong and weak approximation of semilinear stochastic evolution equations

0 references

Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise

0 references

Approximation of backward stochastic partial differential equations by a splitting-up method

0 references

Q5628582

0 references

Well-posedness of backward stochastic differential equations with general filtration

0 references

General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions

0 references

Mathematical Control Theory for Stochastic Partial Differential Equations

0 references

Solving forward-backward stochastic differential equations explicitly -- a four step scheme

0 references

Forward-backward stochastic differential equations and their applications

0 references

Adapted solution of a backward stochastic differential equation

0 references

Stochastic differential equations, backward SDEs, partial differential equations

0 references

Backward stochastic differential equations and applications to optimal control

0 references

Q4226355

0 references

Galerkin Finite Element Methods for Parabolic Problems

0 references

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

0 references

A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations

0 references

Abstract Parabolic Evolution Equations and their Applications

0 references

Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations

0 references

Q4255599

0 references

A numerical scheme for BSDEs

0 references

Numerical methods for stochastic partial differential equations with white noise

0 references

Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation

0 references

Identifiers

DOI

10.1137/21M1453700

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5883143