A Parallel Four Step Domain Decomposition Scheme for Coupled Forward Backward Stochastic Differential Equations

Details A Parallel Four Step Domain Decomposition Scheme for Coupled Forward Backward Stochastic Differential Equations A Parallel Four Step Domain Decomposition Scheme for Coupled Forward Backward Stochastic Differential Equations

2010-08-02

arxiv.org/abs/1008.0353v1

Mathematics

Numerical Analysis

Scientific paper

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.

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