Numerical solution of quasilinear parabolic equations and backward stochastic differential equations

DOI10.1515/156939803770736015zbMath1050.65002OpenAlexW4254221065MaRDI QIDQ4463680

R. N. Makarov

Publication date: 27 May 2004

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

Full work available at URL: https://doi.org/10.1515/156939803770736015

zbMATH Keywords

Cauchy problemquasilinear parabolic equationsnonlinear boundary value problemsnumerical solutionlayer methodbackword stochastic differential equations

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
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• Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations