Approximation of backward stochastic partial differential equations by a splitting-up method
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DOI: 10.1016/j.jmaa.2020.124518
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… read more here.
Keywords: splitting method; approximation backward; partial differential; equations splitting ... See more keywords