Splitting scheme for backward doubly stochastic differential equations

DOI10.1007/s10444-023-10053-zzbMath1528.60065arXiv2103.08632OpenAlexW4385552510MaRDI QIDQ6052450

He Zhang, Feng Bao, Yanzhao Cao

Publication date: 22 September 2023

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.08632

zbMATH Keywords

stochastic partial differential equationsbackward stochastic differential equationsZakai equationsnonlinear filtering problems

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

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