NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS

DOI10.1615/Int.J.UncertaintyQuantification.2011003508zbMath1291.65016OpenAlexW1993732998MaRDI QIDQ5412290

Weidong Zhao, Feng Bao, Yanzhao Cao

Publication date: 25 April 2014

Published in: International Journal for Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1615/int.j.uncertaintyquantification.2011003508

zbMATH Keywords

algorithmsconvergencenumerical experimentsstochastic partial differential equationserror analysisconditional expectationZakai equationsforward backward doubly stochastic differential equations

Mathematics Subject Classification ID

Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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