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Abstract 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… Click to show full abstract
Abstract 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.
Keywords:
splitting method;
approximation backward;
partial differential;
equations splitting;
backward stochastic;
differential equations
Journal Title: Journal of Mathematical Analysis and Applications
Year Published: 2021
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Journal Title: Journal of Mathematical Analysis and Applications
Year Published: 2021
Link to full text (if available)
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recommendations!