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Journal Articles Annals of Applied Probability Year : 2006

A Forward-Backward Stochastic Algorithm For Quasi-Linear PDEs

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Abstract

We propose a time-space discretization scheme for quasi-linear 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.
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Dates and versions

hal-00005448 , version 1 (17-06-2005)
hal-00005448 , version 2 (15-12-2005)

Identifiers

  • HAL Id : hal-00005448 , version 2

Cite

François Delarue, Stéphane Menozzi. A Forward-Backward Stochastic Algorithm For Quasi-Linear PDEs. Annals of Applied Probability, 2006, 16, pp.140-184. ⟨hal-00005448v2⟩
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