A numerical scheme for backward doubly stochastic differential equations (Q1940750): Difference between revisions

For the class of backward doubly stochastic differential equations (BDSDEs) with two independent Brownian motions \(B\) and \(W\) which have possible path-dependent values the author derives a numerical scheme. First, the \(L^2\)-regularity of the martingale integrand \(Z\) under some conditions is shown. Then, the solution \((X,Y,Z)\) of a BDSDE whose terminal value has a special form is approximated by using ``step processes''. The approximation scheme consists of conditional expectation w.r.t. the enlarged filtration. Moreover, the backward component and the associated control \((Y,Z)\) can be expressed as a function of \(X\) and \(B\). As an application, it can be used for determining option prices on financial assets whose dynamics are solutions of SPDEs.