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A Forward-Backward stochastic algorithm for quasi-linear PDEs

Abstract : We propose a time-space discretization scheme for quasi-linear parabolic PDEs. The algorithm relies on the theory of fully coupled Forward-Backward SDEs, which provides an efficient probabilistic representation of this type of equations. The derivated algorithm holds for strong solutions defined on any interval of arbitrary length. As a bypass product, we obtain a discretization procedure for the underlying FBSDE. In particular, our work provides an alternative to the method described in Douglas, Ma and Protter [DMP96] and weakens the regularity assumptions required in this reference.
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https://hal.archives-ouvertes.fr/hal-00002980
Contributor : Serena Benassù <>
Submitted on : Thursday, September 30, 2004 - 12:41:26 AM
Last modification on : Wednesday, December 9, 2020 - 3:12:12 PM
Long-term archiving on: : Thursday, April 1, 2010 - 3:12:20 PM

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  • HAL Id : hal-00002980, version 1

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François Delarue, Séphane Menozzi. A Forward-Backward stochastic algorithm for quasi-linear PDEs. 2004. ⟨hal-00002980⟩

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