Euler time discretization of Backward Doubly SDEs and Application to\n Semilinear SPDEs

2013/02/02 by Achref Bachouch, Mohamed Anis Ben Lasmar, Bachouch, Achref +5
Economics, Econometrics and Finance · Social Sciences · #60H10 #65C30 #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1302.0440

openalex publication_date 2013/02/02 · openalex created_date 2022/10/03 · openalex updated_date 2026/07/28

Abstract

This paper investigates a numerical probabilistic method for the solution of\nsome semilinear stochastic partial differential equations (SPDEs in short). The\nnumerical scheme is based on discrete time approximation for solutions of\nsystems of decoupled forward-backward doubly stochastic differential equations.\nUnder standard assumptions on the parameters, the convergence and the rate of\nconvergence of the numerical scheme is proven. The proof is based on a\ngeneralization of the result on the path regularity of the backward equation.\n

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