An implicit numerical scheme for a class of backward doubly stochastic differential equations (Q2175322)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7194626
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | An implicit numerical scheme for a class of backward doubly stochastic differential equations |
scientific article; zbMATH DE number 7194626 |
Statements
An implicit numerical scheme for a class of backward doubly stochastic differential equations (English)
0 references
29 April 2020
0 references
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.
0 references
Malliavin calculus
0 references
backward doubly stochastic differential equations
0 references
explicit solution to linear BDSDE
0 references
implicit scheme
0 references
Hölder continuity of the solution pairs
0 references
rate of convergence
0 references
0 references
0 references
0 references
0 references
0 references
0.9647757
0 references
0.92060727
0 references
0.91903245
0 references
0.91616595
0 references
0.9136998
0 references
0.91311723
0 references
0.9111555
0 references
