2 papers
math.NA2024
Local discontinuous Galerkin method for nonlinear BSPDEs of Neumann boundary conditions with deep backward dynamic programming time-marching
Yixiang Dai, Yunzhang Li, Jing Zhang
This paper aims to present a local discontinuous Galerkin (LDG) method for solving backward stochastic partial differential equations (BSPDEs) with Neumann boundary conditions. We…
math.PR2024
Fractional Backward Stochastic Partial Differential Equations with Applications to Stochastic Optimal Control of Partially Observed Systems driven by Lévy Processes
Yuyang Ye, Yunzhang Li, Shanjian Tang
In this paper, we study the Cauchy problem for backward stochastic partial differential equations (BSPDEs) involving fractional Laplacian operator. Firstly, by employing the martin…