A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations

DOI10.1016/j.matpur.2011.04.002zbMath1254.60074arXiv1008.0353OpenAlexW2963168026MaRDI QIDQ640015

Minh-Binh Tran

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

zbMATH Keywords

domain decompositionSchwarz methodsstochastic differential equationswaveform relaxation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

An improved iterative HDG approach for partial differential equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Overlapping Clustering Based Technique for Scalable Uncertainty Quantification in Physical Systems ⋮ Parallelizing the Kolmogorov-Fokker-Planck equation

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