A numerical scheme for backward doubly stochastic differential equations

DOI10.3150/11-BEJ391zbMath1274.60217arXiv1011.6170MaRDI QIDQ1940750

Auguste Aman

Publication date: 7 March 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.6170

zbMATH Keywords

numerical schemeregression estimationbackward doubly stochastic differential equationsSPDE\(L^\infty\)-Lipschitz functionals\(L^2\) -regularity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (8)

Numerical computation for backward doubly SDEs with random terminal time ⋮ Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs ⋮ Euler time discretization of backward doubly SDEs and application to semilinear SPDEs ⋮ An implicit numerical scheme for a class of backward doubly stochastic differential equations ⋮ A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems ⋮ Empirical Regression Method for Backward Doubly Stochastic Differential Equations ⋮ A First Order Scheme for Backward Doubly Stochastic Differential Equations ⋮ L2-regularity result for solutions of backward doubly stochastic differential equations

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