Numerical solution of quasilinear parabolic equations and backward stochastic differential equations

Russian Journal of Numerical Analysis and Mathematical Modelling ◽

10.1515/rnam.2003.18.5.397 ◽

2003 ◽

Vol 18 (5) ◽

pp. 397-412 ◽

Author(s):

R. N. Makarov

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Backward Stochastic Differential Equations ◽

Quasilinear Parabolic Equations ◽

Quasilinear Parabolic

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Numerical solution of quasilinear parabolic equations and backward stochastic differential equations

Russian Journal of Numerical Analysis and Mathematical Modelling ◽

10.1515/156939803770736015 ◽

2003 ◽

Vol 18 (5) ◽

Author(s):

R. N. Makarov

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Backward Stochastic Differential Equations ◽

Quasilinear Parabolic Equations ◽

Quasilinear Parabolic

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Systems of quasilinear parabolic equations in Rn and systems of quadratic backward stochastic differential equations

Journal de Mathématiques Pures et Appliquées ◽

10.1016/j.matpur.2021.01.006 ◽

2021 ◽

Author(s):

Alain Bensoussan ◽

Jens Frehse ◽

Sheung Chi Phillip Yam

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Backward Stochastic Differential Equations ◽

Quasilinear Parabolic Equations ◽

Quasilinear Parabolic

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On stochastic differential equations associated with certain quasilinear parabolic equations

Journal of the Mathematical Society of Japan ◽

10.2969/jmsj/02230278 ◽

1970 ◽

Vol 22 (3) ◽

pp. 278-292 ◽

Author(s):

Makiko NISIO

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Quasilinear Parabolic Equations ◽

Quasilinear Parabolic

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2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.13. Applying SDE for Numerical Solution of Linear Elliptic and Parabolic Equations

Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations ◽

10.1515/9783110944662.133 ◽

2011 ◽

Keyword(s):

Cauchy Problem ◽

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Statistical Simulation ◽

Problem Solution ◽

Elliptic And Parabolic Equations ◽

The Cauchy Problem

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Strong Solutions of Semilinear Parabolic Equations with Measure Data and Generalized Backward Stochastic Differential Equations

Potential Analysis ◽

10.1007/s11118-011-9235-z ◽

2011 ◽

Vol 36 (2) ◽

pp. 373-404 ◽

Author(s):

Tomasz Klimsiak

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Strong Solutions ◽

Backward Stochastic Differential Equations ◽

Measure Data ◽

Semilinear Parabolic Equations ◽

Semilinear Parabolic

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Backward stochastic differential equations and quasilinear parabolic partial differential equations

Stochastic Partial Differential Equations and Their Applications - Lecture Notes in Control and Information Sciences ◽

10.1007/bfb0007334 ◽

2005 ◽

pp. 200-217 ◽

Author(s):

E. Pardoux ◽

S. Peng

Keyword(s):

Partial Differential Equations ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations ◽

Parabolic Partial Differential Equations ◽

Partial Differential ◽

Quasilinear Parabolic

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Numerical Solution of Backward Stochastic Differential Equations Driven by Brownian Motion through Block Pulse Functions

Indian Journal of Science and Technology ◽

10.17485/ijst/2014/v7i3.10 ◽

2013 ◽

Vol 7 (3) ◽

pp. 271-275

Author(s):

R. Ezzati

Keyword(s):

Brownian Motion ◽

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations ◽

Block Pulse Functions

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Generalized Directional Gradients, Backward Stochastic Differential Equations and Mild Solutions of Semilinear Parabolic Equations

Applied Mathematics & Optimization ◽

10.1007/s00245-004-0814-x ◽

2005 ◽

Vol 51 (3) ◽

pp. 279-332 ◽

Author(s):

Marco Fuhrman ◽

Gianmario Tessitore

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Mild Solutions ◽

Backward Stochastic Differential Equations ◽

Semilinear Parabolic Equations ◽

Semilinear Parabolic

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A Convolution Method for Numerical Solution of Backward Stochastic Differential Equations

Methodology And Computing In Applied Probability ◽

10.1007/s11009-015-9449-4 ◽

2015 ◽

Vol 19 (1) ◽

pp. 1-29 ◽

Author(s):

Cody B. Hyndman ◽

Polynice Oyono Ngou

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations ◽

Convolution Method

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A Convolution Method for Numerical Solution of Backward Stochastic Differential Equations

SSRN Electronic Journal ◽

10.2139/ssrn.2246565 ◽

2013 ◽

Author(s):

Cody Blaine Hyndman ◽

Polynice Oyono Ngou

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations ◽

Convolution Method

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