Explicit $\theta$-Schemes for Solving Anticipated Backward Stochastic Differential Equations

Mingshang Hu; Lianzi Jiang

Home/Archive/arXiv

arXiv · 1906.01793

Explicit $\theta$-Schemes for Solving Anticipated Backward Stochastic Differential Equations

Mingshang Hu·Lianzi Jiang

View original source ↗Read source document ↗Export metadata ↓

Abstract

In this paper, a class of stable explicit $\theta$-schemes are proposed for solving anticipated backward stochastic differential equations (anticipated BSDEs) which generator not only contains the present values of the solutions but also the future. We subtly transform the delay process of the generator into the current measurable process, resulting in high-order convergence rate. We also analyze the stability of our numerical schemes and strictly prove the error estimates. Various numerical tests powerful demonstrate high accuracy of the proposed numerical schemes.

Explore related subjects

math.NA cs.NA

Keep this discovery

Explore connections, maps & timelines

BibTeX RIS

Mingshang Hu, Lianzi Jiang. 2019-06-05. Explicit $\theta$-Schemes for Solving Anticipated Backward Stochastic Differential Equations. https://arxiv.org/abs/1906.01793

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Stress-divergence, Laplacian, and rotational forms of the incompressible Navier--Stokes equations with variable viscosity

In the Navier--Stokes equations, incompressibility allows rewriting the viscous term in various forms leading to distinct numerical properties and flow descriptions. Furthermore, models accounting for non-Newtonian, thermal or turbulent effects often break the constant-viscosity assumption, thereby producing additional consistency terms. In this context, the present work compares the classical symmetric-gradient diffusion term with more recent variable-viscosity generalizations of the Laplacian and rotational forms. We discuss, analyze and test their differences with respect to implementation, efficiency, numerical stability and outflow boundary conditions. With a focus on time-dependent flows, we consider second-order implicit-explicit (IMEX) temporal discretizations aimed at improving efficiency and numerical stability. Through a rigorous stability analysis, we show how selected explicit treatments can bypass algorithmic nonlinearities without inducing CFL conditions. Our numerical results highlight important differences between the three viscous formulations---especially in the presence of outflow boundaries, for which the generalized Laplacian form proves more suitable in diffusion-dominated regimes. %(as widely known for constant viscosity).

math.NA↗

arXiv2026

Full-window branch discovery and loss-selected EnKF continuation for data assimilation

We develop a framework for offline full-window branch discovery, optionally followed by online continuation with an ensemble Kalman filter (EnKF). Three mechanisms drive the branch search: adjoint path-kernel (APK) differentiation balances kernel differentiation and correction-stabilized path perturbation, shifting the optimization from exploration to exploitation; an optimized Gaussian initial law broadens the search over initial-state basins; and loss-weighted mixing across independent runs recombines successful path components. We may then select an interior state using a local loss and continue online with an EnKF. In 40-dimensional Lorenz-96 experiments, the mean offline path RMSE of APK is 4.3 times smaller than that of population weak-$\mathrm{4D\text{-}Var}_x$. The resulting APK-EnKF method has a mean online RMSE 64 times smaller than that of ordinary EnKF.

math.NA↗

arXiv2026

A variational physics-informed graph neural network for heterogeneous solid mechanics

Stress localization in heterogeneous solids is governed by the bimaterial interface, where the displacement field remains $C^0$-continuous, while in-plane stresses jump due to the stiffness mismatch. Coordinate-based physics-informed neural networks (PINNs) represent this jump via a prescribed regularization width or a weighted interface penalty, making their accuracy sensitive to how phase-contrast changes are handled. This work presents a variational, label-free physics-informed graph neural network (PI-GNN) in which the heterogeneity is carried by the discretization rather than by the trial field. The solver operates on a conforming adaptive mesh graph, assigns constitutive behavior per element, and minimizes the discrete total potential energy as a single unweighted objective in which only first derivatives appear. The discrete energy on piecewise-linear elements coincides with the finite element (FE) Ritz functional. Dirichlet conditions are enforced by construction, with no penalty term, no interface weight, and no prescribed transition width. Using one fixed architecture, optimizer, and loss across small-strain elasticity and finite-strain Neo-Hookean hyperelasticity in two and three dimensions, the von Mises error remains below $3.58\%$ across a stiffness-contrast sweep spanning $(E_{\mathrm{inc}}/E_{\mathrm{mat}}\in[10^{-2},10^{2}])$, where a strong-form PINN degrades to $5.58\%$, and its displacement error reaches $7.66\%$ against $0.49\%$ for the PI-GNN. A trained network halves the ($\sigma_{xx}$) error of an energy-based PINN ($5.01\%$ versus $10.94\%$). Training cost exceeds a single FE solve by more than an order of magnitude, so the construction is a variationally consistent, penalty-free interface representation for parametric surrogates and inverse identification rather than a replacement for a one-off FE analysis.

math.NA↗