Name
Abstract | ||
|---|---|---|
We prove strong convergence with optimal rates for a spatial discretization of the backward stochastic heat equation, and the forward-backward stochastic heat equation from stochastic optimal control. A full discretization based on the implicit Euler method for a temporal discretization and a least squares Monte Carlo method in combination with the new stochastic gradient method are then proposed, and simulation results are reported. |
Year | Venue | Field |
|---|---|---|
2016 | SIAM J. Scientific Computing | Discretization,Mathematical optimization,Stochastic optimization,Temporal discretization,Mathematical analysis,Stochastic differential equation,Heat equation,Stochastic partial differential equation,Backward Euler method,Mathematics,Stochastic control |
DocType | Volume | Issue |
Journal | 38 | 5 |
Citations | PageRank | References |
1 | 0.87 | 0 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Thomas Dunst | 1 | 3 | 1.88 |
| Andreas Prohl | 2 | 302 | 67.29 |