Стохастическое моделирование в геофизике и физике атмосферы
In the paper the task of numerical solving of FBSDEs and of connected Cauchy problem for semilinear second order equation of parabolic type is considered. Some layer approximation methods for solving the nonlinear Cauchy problem are proposed. They are derived by using probabilistic representation of the solutions, but be nevertheless deterministic. These methods allow to evaluate as the solutions as their gradient vectors. FBSDEs are solved by Euiler method on the basis of global approximation of the solution of the corresponded nonlinear problem.
Ваши комментарии Обратная связь |
[Головная страница] [Конференции] |
© 1996-2000, Институт вычислительных технологий СО РАН, Новосибирск
© 1996-2000, Сибирское отделение Российской академии наук, Новосибирск
Дата последней модификации: 06-Jul-2012 (11:52:46)