A parallel four step domain decomposition scheme for coupled forward–backward stochastic differential equations |
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Authors: | Minh-Binh Tran |
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Institution: | Laboratoire Analyse Géométrie et Applications, Institut Galilée, Université Paris 13, France |
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Abstract: | Motivated by the idea of imposing paralleling computing on solving stochastic differential equations (SDEs), we introduce a new domain decomposition scheme to solve forward–backward stochastic differential equations (FBSDEs) parallel. We reconstruct the four step scheme in Ma et al. (1994) 1] and then associate it with the idea of domain decomposition methods. We also introduce a new technique to prove the convergence of domain decomposition methods for systems of quasilinear parabolic equations and use it to prove the convergence of our scheme for the FBSDEs. |
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Keywords: | MSC: 60H35 65M12 65C30 35K55 |
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