A Parallel Four Step Domain Decomposition Scheme for Coupled Forward Backward Stochastic Differential Equations
Numerical Analysis
2010-08-03 v1 Analysis of PDEs
Probability
Abstract
Motivated by the idea of imposing paralleling computing on solving stochastic differential equations (SDEs), we introduce a new Domain Decomposition Scheme to solve forward-backward stochastic differential equations (FBSDEs) parallely. We reconstruct the Four Step Scheme in {MaProtterYong:1994:SFB} with some different conditions and then associate it with the idea of Domain Decomposition Methods. We also introduce a new technique to prove the convergence of Domain Decomposition Methods for systems of quasilinear parabolic equations and use it to prove the convergence of our scheme for the FBSDEs.
Keywords
Cite
@article{arxiv.1008.0353,
title = {A Parallel Four Step Domain Decomposition Scheme for Coupled Forward Backward Stochastic Differential Equations},
author = {Minh-Binh Tran},
journal= {arXiv preprint arXiv:1008.0353},
year = {2010}
}