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Volumn 18, Issue 5, 2003, Pages 397-412

Numerical solution of quasilinear parabolic equations and backward stochastic differential equations

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; BOUNDARY VALUE PROBLEMS; DIFFERENTIAL EQUATIONS; ESTIMATION; LINEAR EQUATIONS; PROBABILITY; PROBLEM SOLVING; RANDOM PROCESSES;

EID: 0344981382     PISSN: 09276467     EISSN: None     Source Type: Journal    
DOI: 10.1163/156939803770736015     Document Type: Article
Times cited : (8)

References (9)
  • 1
    • 0030560429 scopus 로고    scopus 로고
    • The law of the Euler scheme for stochastic differential equations: I. Convergence rate of the distribution function
    • V. Bally and D. Talay, The law of the Euler scheme for stochastic differential equations: I. convergence rate of the distribution function. Probability Theory and Related Fields (1996) 104, No. 1, 43-60.
    • (1996) Probability Theory and Related Fields , vol.104 , Issue.1 , pp. 43-60
    • Bally, V.1    Talay, D.2
  • 3
    • 84967708673 scopus 로고
    • User's guide to viscosity solution of second-order partial differential equations
    • M. Grandall, H. Ishii, and P. L. Lions, User's guide to viscosity solution of second-order partial differential equations. Bull. Amer. Math. Soc. (1992) 27, 1-67.
    • (1992) Bull. Amer. Math. Soc. , vol.27 , pp. 1-67
    • Grandall, M.1    Ishii, H.2    Lions, P.L.3
  • 5
    • 0344891803 scopus 로고
    • Solving forward-backward stochastic differential equations explicitly - a four step scheme
    • L. Ma, Ph. Protter, and J. Yong, Solving forward-backward stochastic differential equations explicitly - a four step scheme. Probability Theory and Related Fields (1994) 98, No. 3, 339-359.
    • (1994) Probability Theory and Related Fields , vol.98 , Issue.3 , pp. 339-359
    • Ma, L.1    Protter, Ph.2    Yong, J.3
  • 7
    • 0034394607 scopus 로고    scopus 로고
    • Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations
    • G. N. Milstein and M. V. Tretyakov, Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations. Math. Comp. (2000) 69, 237-267.
    • (2000) Math. Comp. , vol.69 , pp. 237-267
    • Milstein, G.N.1    Tretyakov, M.V.2
  • 8
    • 0035541112 scopus 로고    scopus 로고
    • Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach
    • G. N. Milstein and M. V. Tretyakov, Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach. IMA J. Numer. Anal. (2001) 21, No. 4, 887-917.
    • (2001) IMA J. Numer. Anal. , vol.21 , Issue.4 , pp. 887-917
    • Milstein, G.N.1    Tretyakov, M.V.2
  • 9
    • 0033463544 scopus 로고    scopus 로고
    • Forward-backward stochastic differential equations and quasilinear parabolic PDEs
    • E. Pardoux and S. Tang, Forward-backward stochastic differential equations and quasilinear parabolic PDEs. Probability Theory and Related Fields (1999) 114, 123-150.
    • (1999) Probability Theory and Related Fields , vol.114 , pp. 123-150
    • Pardoux, E.1    Tang, S.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.