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

DOI10.1016/j.crma.2011.07.011zbMath1225.60119arXiv1106.0813OpenAlexW2963062973MaRDI QIDQ639632

Penghui Wang, Zhang, X.

Publication date: 22 September 2011

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

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

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)

Related Items (8)

Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation ⋮ Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise ⋮ 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 ⋮ Analysis on the stability of numerical schemes for a class of stochastic partial differential systems ⋮ \(L^2\)-regularity of solutions to linear backward stochastic heat equations, and a numerical application ⋮ 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 ⋮ Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations

Cites Work

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• Recent developments in spectral stochastic methods for the numerical solution of stochastic partial differential equations
• Adapted solution of a backward stochastic differential equation
• A numerical scheme for BSDEs
• Numerical method for backward stochastic differential equations
• Well-posedness of backward stochastic differential equations with general filtration
• Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations

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