A First Order Scheme for Backward Doubly Stochastic Differential Equations

DOI10.1137/14095546XzbMath1343.60096OpenAlexW2343354150MaRDI QIDQ5741185

A. J. Meir, Yanzhao Cao, Feng Bao, Weidong Zhao

Publication date: 22 July 2016

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/14095546x

zbMATH Keywords

backward doubly stochastic differential equationsnonlinear filterfirst order schemeItō-Taylor expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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