Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates
Year: 2020
Author: Xu Yang, Weidong Zhao
Advances in Applied Mathematics and Mechanics, Vol. 12 (2020), Iss. 6 : pp. 1457–1480
Abstract
In this paper, we consider numerical approximation of a class of nonlinear backward stochastic partial differential equations (BSPDEs). By using finite element methods in the physical space domain and the Euler method in the time domain, we propose a spatial finite element semi-discrete scheme and a spatio-temporal full discrete scheme for solving the BSPDEs. Errors of the schemes are rigorously analyzed and theoretical error estimates with convergence rates are obtained.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/aamm.OA-2019-0345
Advances in Applied Mathematics and Mechanics, Vol. 12 (2020), Iss. 6 : pp. 1457–1480
Published online: 2020-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 24
Keywords: Backward stochastic partial differential equations finite element method error estimate.
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