Euler time discretization of backward doubly SDEs and application to semilinear SPDEs

DOI10.1007/s40072-016-0071-4zbMath1351.60086arXiv1302.0440OpenAlexW2962994073MaRDI QIDQ338206

Mohamed Anis Ben Lasmar, Anis Matoussi, Achref Bachouch, Mohammed Mnif

Publication date: 4 November 2016

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0440

zbMATH Keywords

Malliavin calculusMonte Carlo methodEuler schemestochastic PDEsbackward doubly stochastic differential equationsforward-backward system

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) 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)

Related Items (10)

Numerical computation for backward doubly SDEs with random terminal time ⋮ Backward doubly SDEs and semilinear stochastic PDEs in a convex domain ⋮ An implicit numerical scheme for a class of backward doubly stochastic differential equations ⋮ Probabilistic interpretation for solutions of fully nonlinear stochastic pdes ⋮ Splitting scheme for backward doubly stochastic differential equations ⋮ Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures ⋮ Stochastic partial differential equations with singular terminal condition ⋮ A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems ⋮ A First Order Scheme for Backward Doubly Stochastic Differential Equations ⋮ L2-regularity result for solutions of backward doubly stochastic differential equations

Cites Work

• Particle approximations for a class of stochastic partial differential equations
• Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
• Taylor expansions of solutions of stochastic partial differential equations with additive noise
• On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
• Stochastic calculus with anticipating integrands
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
• Stochastic flows acting on Schwartz distributions
• Generalized solutions of a stochastic partial differential equation
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• A numerical scheme for BSDEs
• Finite element methods for parabolic stochastic PDE's
• Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise
• A numerical scheme for backward doubly stochastic differential equations
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Accelerated Finite Difference Schemes for Linear Stochastic Partial Differential Equations in the Whole Space
• Solving parabolic stochastic partial differential equations via averaging over characteristics
• The Malliavin Calculus and Related Topics
• Stochastic partial differential equations and filtering of diffusion processes
• Nonlinear Filtering Revisited: A Spectral Approach
• Backward Stochastic Differential Equations in Finance
• Weak solutions for SPDE's and backward doubly stochastic differential equations
• Stochastic PDEs driven by nonlinear noise and backward doubly SDEs
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Euler time discretization of backward doubly SDEs and application to semilinear SPDEs