Numerical computation for backward doubly SDEs with random terminal time
DOI10.1515/mcma-2016-0111zbMath1346.60107arXiv1409.2149OpenAlexW2277126288MaRDI QIDQ308407
Publication date: 6 September 2016
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1409.2149
stochastic partial differential equationsMonte Carlo methodexit timestochastic flowDirichlet conditionEuler schemebackward doubly stochastic differential equations
Monte Carlo methods (65C05) 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) Numerical solutions to stochastic differential and integral equations (65C30) Martingales and classical analysis (60G46)
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