2021/03/15 by Feng Bao, Bao, Feng, Yanzhao Cao +3
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Numerical Analysis (math.NA) #Probability and Risk Models #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2103.08632
openalex publication_date 2021/03/15 · openalex created_date 2021/03/29 · openalex updated_date 2026/07/28
A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backward stochastic differential equation and a stochastic differential equation. The backward stochastic differential equation and the stochastic differential equation are then approximated by first order finite difference schemes, which results in a first order scheme for the backward doubly stochastic differential equation. Numerical experiments are conducted to illustrate the convergence rate of the proposed scheme.