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We propose some numerical schemes for forward-backward stochastic differential equations (FBSDEs) based on a new fundamental concept of transposition solutions. These schemes exploit time-splitting methods for the variation of constants…

Numerical Analysis · Mathematics 2018-05-01 Kazufumi Ito , Yufei Zhang , Jun Zou

The theory of Forward-Backward Stochastic Differential Equations (FBSDEs) paves a way to probabilistic numerical methods for nonlinear parabolic PDEs. The majority of the results on the numerical methods for FBSDEs relies on the global…

Probability · Mathematics 2016-07-25 Arnaud Lionnet , Gonçalo dos Reis , Lukasz Szpruch

In this paper, we undertake the error analysis of the time discretization of systems of Forward-Backward Stochastic Differential Equations (FBSDEs) with drivers having polynomial growth and that are also monotone in the state variable. We…

Probability · Mathematics 2015-09-10 Arnaud Lionnet , Gonçalo dos Reis , Lukasz Szpruch

We study a discrete-time approximation for solutions of systems of decoupled forward-backward doubly stochastic differential equations (FBDSDEs). Assuming that the coefficients are Lipschitz-continuous, we prove the convergence of the…

Probability · Mathematics 2009-07-14 Auguste Aman

This article is devoted to long-time weak approximations of stochastic partial differential equations (SPDEs) evolving in a bounded domain $\mathcal{D} \subset \mathbb{R}^d$, $d \leq 3$, with non-globally Lipschitz and possibly…

Numerical Analysis · Mathematics 2025-07-15 Yingsong Jiang , Xiaojie Wang

We propose a time-space discretization scheme for quasi-linear parabolic PDEs. The algorithm relies on the theory of fully coupled forward--backward SDEs, which provides an efficient probabilistic representation of this type of equation.…

Probability · Mathematics 2016-08-16 François Delarue , Stéphane Menozzi

We consider a fully discrete scheme for nonlinear stochastic partial differential equations with non-globally Lipschitz coefficients driven by multiplicative noise in a multi-dimensional setting. Our method uses a polynomial based spectral…

Numerical Analysis · Mathematics 2021-12-23 Can Huang , Jie Shen

We propose new numerical schemes for decoupled forward-backward stochastic differential equations (FBSDEs) with jumps, where the stochastic dynamics are driven by a $d$-dimensional Brownian motion and an independent compensated Poisson…

Numerical Analysis · Mathematics 2015-08-06 Weidong Zhao , Wei Zhang , Guannan Zhang

We propose and study a scheme combining the finite element method and machine learning techniques for the numerical approximations of coupled nonlinear forward-backward stochastic partial differential equations (FBSPDEs) with homogeneous…

Numerical Analysis · Mathematics 2020-12-16 Hasib Uddin Molla , Jinniao Qiu

The present paper proposes new fully discrete schemes for long-time approximations of stochastic partial differential equations (SPDEs) with non-globally Lipschitz coefficients in a bounded domain $D \subset \R^d, d =1,2,3 $. A novel family…

Numerical Analysis · Mathematics 2026-03-25 Ruisheng Qi , Xiaojie Wang

The classical Feynman-Kac formula states the connection between linear parabolic partial differential equations (PDEs), like the heat equation, and expectation of stochastic processes driven by Brownian motion. It gives then a method for…

Probability · Mathematics 2014-09-03 Huyen Pham

We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the Feynman-Kac representation in [12] by means of control…

Probability · Mathematics 2019-06-28 Idris Kharroubi , Nicolas Langrené , Huyên Pham

Semilinear parabolic partial differential equations (PDEs) are fundamental to modeling complex dynamical systems across scientific domains. The Deep Backward Stochastic Differential Equation (BSDE) method is a promising approach for…

Computational Engineering, Finance, and Science · Computer Science 2026-05-12 Xiaotao Zheng , Xingye Yue , Zhihong Xia , Xin Li

We propose a new deep learning algorithm for solving high-dimensional parabolic integro-differential equations (PIDEs) and forward-backward stochastic differential equations with jumps (FBSDEJs). This novel algorithm can be viewed as an…

Numerical Analysis · Mathematics 2025-10-28 Wansheng Wang , Jiangtao Pan , Jie Wang , Zaijun Ye

We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in \cite{cstv}, and show that it can be introduced naturally as a combination of Monte Carlo and finite differences scheme without appealing to the theory of…

Probability · Mathematics 2010-08-26 Arash Fahim , Nizar Touzi , Xavier Warin

In this work, we study the numerical approximation of a class of singular fully coupled forward backward stochastic differential equations. These equations have a degenerate forward component and non-smooth terminal condition. They are…

Numerical Analysis · Mathematics 2022-08-17 Jean-François Chassagneux , Mohan Yang

In this work we study the numerical approximation of a class of ergodic Backward Stochastic Differential Equations. These equations are formulated in an infinite horizon framework and provide a probabilistic representation for elliptic…

Numerical Analysis · Mathematics 2024-09-11 Emmanuel Gobet , Adrien Richou , Lukasz Szpruch

In this paper, we present a novel Feynman-Kac formula and investigate learning-based methods for approximating general nonlinear time-dependent Schr\"odinger equations which may be high-dimensional. Our formulation integrates both the…

Analysis of PDEs · Mathematics 2025-06-23 Hang Cheung , Jinniao Qiu , Yang Yang

In this work, we have presented a simple analytical approximation scheme for generic non-linear FBSDEs. By treating the interested system as the linear decoupled FBSDE perturbed with non-linear generator and feedback terms, we have shown…

Computational Finance · Quantitative Finance 2012-01-23 Masaaki Fujii , Akihiko Takahashi

We study the discrete-time approximation for solutions of forward-backward stochas- tic dierential equations (FBSDEs) with a jump. In this part, we study the case of Lipschitz generators, and we refer to the second part of this work [15]…

Analysis of PDEs · Mathematics 2012-11-28 Idris Kharroubi , Thomas Lim
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