Numerical Computations for Backward Doubly SDEs and SPDEs

2008/05/30 by Shi, Yufeng, Yang, Weiqiang, Yuan, Jing
#60H20 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.0805.4662

Abstract

In this paper we present two numerical schemes of approximating solutions of backward doubly stochastic differential equations (BDSDEs for short). We give a method to discretize a BDSDE. And we also give the proof of the convergence of these two kinds of solutions for BDSDEs respectively. We give a sample of computation of BDSDEs.

Related

• A Numerical scheme for backward doubly stochastic differential equations
• Solving Backward Doubly Stochastic Differential Equations through Splitting Schemes
• An implicit numerical scheme for a class of backward doubly stochastic differential equations
• Lp-solution of backward doubly stochastic differential equations
• Numerical scheme for backward doubly stochastic differential equations