Numerical computation for backward doubly SDEs with random terminal time (Q308407)
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scientific article; zbMATH DE number 6623669
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical computation for backward doubly SDEs with random terminal time |
scientific article; zbMATH DE number 6623669 |
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Numerical computation for backward doubly SDEs with random terminal time (English)
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6 September 2016
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backward doubly stochastic differential equations
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stochastic partial differential equations
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Euler scheme
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Monte Carlo method
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exit time
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stochastic flow
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Dirichlet condition
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