A Forward-Backward Stochastic Algorithm For Quasi-Linear PDEs
Résumé
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.
Domaines
Probabilités [math.PR]
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