A forward–backward stochastic algorithm for quasi-linear PDEs
نویسندگان
چکیده
منابع مشابه
A Forward-Backward Stochastic Algorithm for Quasi-Linear PDEs
We propose a time-space discretization scheme for quasi-linear parabolic PDEs. The algorithm relies on the theory of fully coupled Forward-Backward SDEs, which provides an efficient probabilistic representation of this type of equations. The derivated algorithm holds for strong solutions defined on any interval of arbitrary length. As a bypass product, we obtain a discretization procedure for t...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2006
ISSN: 1050-5164
DOI: 10.1214/105051605000000674