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

被引：6

作者：

Yang, Xu ^{[1
]}

Zhao, Weidong ^{[2
]}

机构：

[1] China Univ Min & Technol, Sch Math, Xuzhou 221116, Jiangsu, Peoples R China

[2] Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China

来源：

ADVANCES IN APPLIED MATHEMATICS AND MECHANICS | 2020年 / 12卷 / 06期

关键词：

Backward stochastic partial differential equations; finite element method; error estimate; MULTISTEP SCHEME; ADAPTED SOLUTION;

D O I：

10.4208/aamm.OA-2019-0345

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页码：1457 / 1480

页数：24

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