Numerical computation for backward doubly SDEs with random terminal time

DOI10.1515/mcma-2016-0111zbMath1346.60107arXiv1409.2149OpenAlexW2277126288MaRDI QIDQ308407

Anis Matoussi, Wissal Sabbagh

Publication date: 6 September 2016

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.2149

zbMATH Keywords

stochastic partial differential equationsMonte Carlo methodexit timestochastic flowDirichlet conditionEuler schemebackward doubly stochastic differential equations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Martingales and classical analysis (60G46)

Related Items

An implicit numerical scheme for a class of backward doubly stochastic differential equations, A framework of BSDEs with stochastic Lipschitz coefficients, Stochastic partial differential equations with singular terminal condition

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