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

被引：5

作者：

Li, Yunzhang ^{[1
]}

Tang, Shanjian ^{[1
]}

机构：

[1] Fudan Univ, Sch Math Sci, Dept Finance & Control Sci, Shanghai 200433, Peoples R China

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2021年 / 493卷 / 01期

基金：

国家重点研发计划; 中国国家自然科学基金;

关键词：

Splitting-up method; Backward stochastic partial differential equations; Cylindrical Wiener process; ADAPTED SOLUTION;

D O I：

10.1016/j.jmaa.2020.124518

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper develops a splitting-up method to solution of backward stochastic parabolic partial differential equations. Both splitting equations are simpler for the numerical computations. Two different approximation schemes are given, and their convergence results are proved. The first-order convergence rate is proved in the linear case. (c) 2020 Elsevier Inc. All rights reserved.

引用

页数：37

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