A forward - Backward stochastic algorithm for quasi-linear PDES

Abstract

We propose a time-space discretization scheme for quasi-linear parabolic PDEs. The algorithm relies on the theory of fully coupled forward - backward SDKs, which provides an efficient probabilistic representation of this type of equation. The derivated algorithm holds for strong solutions defined on any interval of arbitrary length. As a bypass product, we obtain a discretization procedure for the underlying FBSDE. In particular, our work provides an alternative to the method described in [Douglas, Ma and Protter (1996) Ann. Appl. Probab. 6 940-968] and weakens the regularity assumptions required in this reference. © Institute of Mathematical Statistics, 2006.