Journal
MATHEMATICAL CONTROL AND RELATED FIELDS
Volume 6, Issue 3, Pages 489-515Publisher
AMER INST MATHEMATICAL SCIENCES-AIMS
DOI: 10.3934/mcrf.2016013
Keywords
Backward stochastic parabolic differential equation; backward stochastic differential equation; Galerkin method; strong convergence
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Funding
- NSF of China [11231007, 11526167]
- Fundamental Research Funds for the Central Universities [SWU113038, XDJK2014C076]
- Natural Science Foundation of CQCSTC [2015jcyjA00017]
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In this paper, we present a numerical scheme to solve the initial boundary value problem for backward stochastic partial differential equations of parabolic type. Based on the Galerkin method, we approximate the original equation by a family of backward stochastic differential equations (BSDEs, for short), and then solve these BSDEs by the time discretization. Combining the truncation with respect to the spatial variable and the backward Euler method on time variable, we obtain the global L-2 error estimate.
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