An implicit numerical scheme for a class of backward doubly stochastic differential equations (Q2175322)
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| Language | Label | Description | Also known as |
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| English | An implicit numerical scheme for a class of backward doubly stochastic differential equations |
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An implicit numerical scheme for a class of backward doubly stochastic differential equations (English)
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29 April 2020
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In this paper, the authors study a class of backward doubly stochastic differential equations with general terminal value and general random generator of the form \[ Y_t = \xi + \int_t^T f(r,Y_r,Z_r)dr + \int_t^T g(Y_r) d \overleftarrow{B_r} - \int_t^T Z_r dW_r, \quad 0 \leq t \leq T, \] where \(\int_t^T g(Y_r) d \overleftarrow{B_r}\) denotes the backward Ito integral and \(W_t\) and \(B_t\) are two independent standard Brownian motions.
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Malliavin calculus
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backward doubly stochastic differential equations
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explicit solution to linear BDSDE
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implicit scheme
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Hölder continuity of the solution pairs
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rate of convergence
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