A test of backward stochastic differential equations solver for solving semilinear parabolic differential equations in 1D and 2D

A test of backward stochastic differential equations solver for solving semilinear parabolic differential equations in 1D and 2D

Backward stochastic differential equation solver was first introduced by Han et al in 2017. A semilinear parabolic partial differential equation is converted into a stochastic differential equation, and then solved by the backward stochastic differential equation (BSDE) solver. The BSDE solver uses...

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Bibliographic Details
Main Authors: Evan Davis, Guangming Yao, Elizabeth Javor, Kalani Rubasinghe, Luis Antonio Topete Galván
Format: Article
Language:English
Published: Elsevier 2022-12-01
Series:Partial Differential Equations in Applied Mathematics
Subjects:
Semilinear PDE
Backward stochastic PDE
Euler method
Deep learning
Parabolic
Black–scholes equations
Online Access:http://www.sciencedirect.com/science/article/pii/S266681812200105X

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http://www.sciencedirect.com/science/article/pii/S266681812200105X

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