Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates
被引:5
作者:
Yang, Xu
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机构:
China Univ Min & Technol, Sch Math, Xuzhou 221116, Jiangsu, Peoples R ChinaChina Univ Min & Technol, Sch Math, Xuzhou 221116, Jiangsu, Peoples R China
Yang, Xu
[1
]
Zhao, Weidong
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机构:
Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R ChinaChina Univ Min & Technol, Sch Math, Xuzhou 221116, Jiangsu, Peoples R China
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
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.