Backward stochastic differential equations (BSDEs) have emerged as a pivotal mathematical tool in the analysis of complex systems across finance, physics and engineering. Their formulation, generally ...

We present a new fully discrete method to solve a linear variable coefficient parabolic equation on a rectangular region. The scheme is an alternating direction implicit method which uses the third ...

This is a preview. Log in through your library . Abstract Some iterative methods are developed for the solution of a forward-backward heat equation. Lower bounds for the rates of convergence of the ...