On the discretization of backward doubly stochastic differential equations

2009/07/09 by Omar Aboura, Aboura, Omar
Economics, Econometrics and Finance · Social Sciences · #60H20 (Primary) #60H35 #65C20 (Secondary) #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.0907.1406

openalex publication_date 2009/07/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we are dealing with the approximation of the process (Y,Z) solution to the backward doubly stochastic differential equation with the forward process X . After proving the L2-regularity of Z, we use the Euler scheme to discretize X and the Zhang approach in order to give a discretization scheme of the process (Y,Z).

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