A Numerical scheme for backward doubly stochastic differential equations

2010/11/29 by Aman, Auguste
#60H07 #62G08 #65C05 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1011.6170

Abstract

In this paper we propose a numerical scheme for the class of backward doubly stochastic (BDSDEs) with possible path-dependent terminal values. We prove that our scheme converge in the strong L²-sense and derive its rate of convergence. As an intermediate step we derive an L²-type regularity of the solution to such BDSDEs. Such a notion of regularity which can be though of as the modulus of continuity of the paths in an L²-sense, is new.

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