OpenAlex | Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation

Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation

Work

Year: 2021

Type: article

Abstract: We verify strong rates of convergence for a time-implicit, finite-element based space-time discretization of the backward stochastic heat equation, and the forward-backward stochastic heat equation fr... more

Source: ESAIM Control Optimisation and Calculus of Variations

Authors Andreas Prohl, Yanqing Wang

Institutions University of Tübingen, Southwest University

Cites: 43

Cited by: 11

Related to: 10

FWCI: 2.182

Citation percentile (by year/subfield): 89.44

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Funders National Natural Science Foundation of China, Natural Science Foundation of Chongqing

Grant IDS 11801467,11701470, cstc2018jcyjAX0148