Numerical computation for backward doubly SDEs with random terminal time (Q308407)
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scientific article; zbMATH DE number 6623669
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| English | Numerical computation for backward doubly SDEs with random terminal time |
scientific article; zbMATH DE number 6623669 |
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Numerical computation for backward doubly SDEs with random terminal time (English)
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6 September 2016
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backward doubly stochastic differential equations
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stochastic partial differential equations
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Euler scheme
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Monte Carlo method
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exit time
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stochastic flow
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Dirichlet condition
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0.832405686378479
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0.8228299021720886
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0.8224749565124512
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0.8167621493339539
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