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Showing 1 to 2 of 2 for “"Forward-backward stochastic differential equations"”.
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Numerical approximations of coupled forward-backward SPDEs with applications
… for the numerical approximations of coupled forward-backward stochastic partial differential equations (FBSPDEs) with homogeneous Dirichlet boundary conditions. For the FBSPDE, the finite element method in the spatial domain leads to approximations by finite-dimensional forward-backward …
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Feynman-Kac Numerical Techniques for Stochastic Optimal Control
… improving numerical methods in the solution of forward-backward stochastic differential equations (FBSDEs) appearing in the Feynman-Kac representation of the value function in stochastic optimal control (SOC) problems. First, we propose a novel characterization of FBSDE estimators as either …