An implicit numerical scheme for a class of backward doubly stochastic differential equations

DOI10.1016/J.SPA.2019.09.014MaRDI QIDQ2175322zbMATH OpenOpenAlexWikidataFDO

Authors David Nualart, Xiaoming Song, Yaozhong Hu

Publication date 29 April 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1702.00910

zbMATH Keywords

backward doubly stochastic differential equationsexplicit solution to linear BDSDEHölder continuity of the solution pairsimplicit schemeMalliavin calculusrate of convergence

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: In this paper, we consider a class of backward doubly stochastic differential equations (BDSDE for short) with general terminal value and general random generator. Those BDSDEs do not involve any forward diffusion processes. By using the techniques of Malliavin calculus, we are able to establish the $L^p$-H"{o}lder continuity of the solution pair. Then, an implicit numerical scheme for the BDSDE is proposed and the rate of convergence is obtained in the $L^p$-sense. As a by-product, we obtain an explicit representation of the process $Y$ in the solution pair to a linear BDSDE with random coefficients.

Review text

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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Cited in

(9)

• A numerical scheme for backward doubly stochastic differential equations
• Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps
• Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information
• Numerical computation for backward doubly SDEs with random terminal time
• NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
• Splitting scheme for backward doubly stochastic differential equations
• On stochastic elliptic equations driven by Wiener process with non-local condition
• A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs
• Forward-backward doubly stochastic differential equations with Poisson jumps in infinite dimensions

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