Splitting scheme for backward doubly stochastic differential equations

Bao, Feng; Cao, Yanzhao; Zhang, He

doi:10.1007/s10444-023-10053-z

Splitting scheme for backward doubly stochastic differential equations

Journal Article · 01 August 2023 · Advances in Computational Mathematics

DOI:https://doi.org/10.1007/s10444-023-10053-z· OSTI ID:2422116

Bao, Feng ^[1]; Cao, Yanzhao; Zhang, He

OSTI

Not provided.

Research Organization:: Auburn Univ., AL (United States); Florida State Univ., Tallahassee, FL (United States)

Sponsoring Organization:: USDOE Office of Science (SC)

DOE Contract Number:: SC0022253; SC0022297

OSTI ID:: 2422116

Journal Information:: Advances in Computational Mathematics, Journal Name: Advances in Computational Mathematics Journal Issue: 4 Vol. 49; ISSN 1019-7168

Publisher:: Springer

Country of Publication:: United States

Language:: English

References (17)

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Solving forward-backward stochastic differential equations explicitly ? a four step scheme Ma, Jin; Protter, Philip; Yong, Jiongmin Probability Theory and Related Fields, Vol. 98, Issue 3 https://doi.org/10.1007/BF01192258	journal	September 1994
Adaptive Meshfree Backward SDE Filter Bao, Feng; Maroulas, Vasileios SIAM Journal on Scientific Computing, Vol. 39, Issue 6 https://doi.org/10.1137/16M1100277	journal	January 2017
On the optimal filtering of diffusion processes Zakai, Moshe Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete, Vol. 11, Issue 3 https://doi.org/10.1007/BF00536382	journal	January 1969
Backward doubly stochastic differential equations and systems of quasilinear SPDEs Pardoux, Etienne; Peng, Shige Probability Theory and Related Fields, Vol. 98, Issue 2 https://doi.org/10.1007/BF01192514	journal	June 1994
Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations Gobet, E.; Turkedjiev, P. Stochastic Processes and their Applications, Vol. 127, Issue 4 https://doi.org/10.1016/j.spa.2016.07.011	journal	April 2017
On the splitting-up method and stochastic partial differential equations Gyöngy, István; Krylov, Nicolai The Annals of Probability, Vol. 31, Issue 2 https://doi.org/10.1214/aop/1048516528	journal	April 2003
A First Order Scheme for Backward Doubly Stochastic Differential Equations Bao, Feng; Cao, Yanzhao; Meir, Amnon SIAM/ASA Journal on Uncertainty Quantification, Vol. 4, Issue 1 https://doi.org/10.1137/14095546X	journal	January 2016
Deep Learning-Based Numerical Methods for High-Dimensional Parabolic Partial Differential Equations and Backward Stochastic Differential Equations E., Weinan; Han, Jiequn; Jentzen, Arnulf Communications in Mathematics and Statistics, Vol. 5, Issue 4 https://doi.org/10.1007/s40304-017-0117-6	journal	November 2017
Approximation of the Zakaï Equation by the Splitting up Method Bensoussan, A.; Glowinski, R.; Rascanu, A. SIAM Journal on Control and Optimization, Vol. 28, Issue 6 https://doi.org/10.1137/0328074	journal	November 1990
A parallel algorithm for solving BSDEs Labart, Céline; Lelong, Jérôme Monte Carlo Methods and Applications, Vol. 19, Issue 1 https://doi.org/10.1515/mcma-2013-0001	journal	January 2013
Backward stochastic differential equations and quasilinear parabolic partial differential equations Pardoux, E.; Peng, S. Stochastic Partial Differential Equations and Their Applications https://doi.org/10.1007/BFb0007334	book	January 2005
Approximation of some stochastic differential equations by the splitting up method Bensoussan, A.; Glowinski, R.; Raşcanu, A. Applied Mathematics & Optimization, Vol. 25, Issue 1 https://doi.org/10.1007/BF01184157	journal	January 1992
Forward backward doubly stochastic differential equations and the optimal filtering of diffusion processes Bao, Feng; Cao, Yanzhao; Han, Xiaoying Communications in Mathematical Sciences, Vol. 18, Issue 3 https://doi.org/10.4310/CMS.2020.v18.n3.a3	journal	January 2020
A numerical scheme for BSDEs Zhang, Jianfeng The Annals of Applied Probability, Vol. 14, Issue 1 https://doi.org/10.1214/aoap/1075828058	journal	February 2004
A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations Zhang, Guannan Journal of Computational Mathematics, Vol. 31, Issue 3 https://doi.org/10.4208/jcm.1212-m4014	journal	June 2013

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