A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates
DOI10.1051/m2an/2023100OpenAlexW4389504568MaRDI QIDQ6186533
Yongwang Sun, Wenju Zhao, Weidong Zhao
Publication date: 2 February 2024
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/m2an/2023100
finite element methodbackward stochastic partial differential equations\(\theta\)-scheme error estimates
Brownian motion (60J65) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Parallel numerical computation (65Y05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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