A numerical scheme for backward doubly stochastic differential equations

DOI10.3150/11-BEJ391zbMath1274.60217arXiv1011.6170MaRDI QIDQ1940750

Auguste Aman

Publication date: 7 March 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.6170

zbMATH Keywords

numerical scheme; regression estimation; backward doubly stochastic differential equations; SPDE; \(L^\infty\)-Lipschitz functionals; \(L^2\) -regularity

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

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