An implicit numerical scheme for a class of backward doubly stochastic differential equations

DOI10.1016/j.spa.2019.09.014zbMath1467.60040arXiv1702.00910OpenAlexW2978098184WikidataQ127182861 ScholiaQ127182861MaRDI QIDQ2175322

David Nualart, Xiao-Ming Song, Yaozhong Hu

Publication date: 29 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.00910

zbMATH Keywords

rate of convergenceMalliavin calculusimplicit schemebackward doubly stochastic differential equationsexplicit solution to linear BDSDEHölder continuity of the solution pairs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (3)

Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps ⋮ Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information ⋮ On stochastic elliptic equations driven by Wiener process with non-local condition

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