A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates

Abstract

In this paper, we study numerical methods for solving a class of nonlinear backward stochastic partial differential equations. By utilizing finite element methods in space and θ-scheme in time, the proposed scheme forms a generalized spatio-temporal full discrete scheme, which can be solved in parallel. We rigorously prove the boundedness and error estimates, and obtain the optimal convergence rates in both time (first order/second order) and space (k + 1, k in L2 and H1, respectively). Numerical results are finally provided to demonstrate the effectiveness of the proposed scheme and validate the theoretical analyses.