Splitting scheme for backward doubly stochastic differential equations (Q6052450)

The authors introduce a numerical scheme for a class of backward doubly stochastic differential equations (BDSDEs). They decompose the backward doubly stochastic differential equation into a backward stochastic differential equation and a stochastic differential equation, which are easier to analyze than the original BDSDE itself. The two equations in the decomposition are approximated using first-order finite difference schemes, which results in a first-order scheme for the backward doubly stochastic differential equation. Numerical experiments are included to illustrate the proposed scheme.