Full-Projection explicit FBSDE scheme for parabolic PDEs with superlinear nonlinearities
For researchers in numerical analysis and PDEs, this provides a stable and convergent scheme for high-dimensional parabolic PDEs with superlinear nonlinearities, addressing a known bottleneck in existing explicit schemes.
This work introduces a Full-Projection explicit time-discretization scheme for FBSDEs with non-globally Lipschitz drivers of polynomial growth, establishing convergence rates and showing it preserves stability properties such as coercivity/contraction. The scheme is coupled with quantization-type conditional expectations for a complete approximation of nonlinear PDEs.
Developing efficient and stable approximations for high dimensional PDEs is of key importance for numerous applications. The language of Forward-Backward Stochastic Differential Equations (FBSDE), with its nonlinear Feynman-Kac formula, allows for purely probabilistic representations of the solution and its gradient for parabolic nonlinear PDEs. In this work we build on the recent results of [Lionnet, dos Reis and Szpruch 2015] by introducing and studying a Full-Projection explicit time-discretization scheme for the approximation of FBSDEs with non-globally Lipschitz drivers of polynomial growth. We establish convergence rates and we show that, unlike classical explicit schemes, it preserves stability properties present in the continuous-time dynamics, in particular, the scheme is able to preserve the possible coercivity/contraction property of the PDE's coefficients. The scheme is then coupled with a quantization-type approximation of the conditional expectations on a space-time grid in order to provide a complete approximation scheme for these FBSDEs/nonlinear PDEs and a full analysis is also carried out. We illustrate our findings with numerical examples.