Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates

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.

Author Details

Xu Yang

Weidong Zhao

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