Convergence of a spatial semi-discretization for a backward semilinear stochastic parabolic equation
Numerical Analysis
2022-06-30 v7 Numerical Analysis
Abstract
This paper studies the convergence of a spatial semi-discretization for a backward semilinear stochastic parabolic equation. The filtration is general, and the spatial semi-discretization uses the standard continuous piecewise linear element method. Firstly, higher regularity of the solution to the continuous equation is derived. Secondly, the first-order spatial accuracy is derived for the spatial semi-discretization. Thirdly, an application of the theoretical result to a stochastic linear quadratic control problem is presented.
Keywords
Cite
@article{arxiv.2105.10130,
title = {Convergence of a spatial semi-discretization for a backward semilinear stochastic parabolic equation},
author = {Binjie Li and Xiaoping Xie},
journal= {arXiv preprint arXiv:2105.10130},
year = {2022}
}