Numerical computation for backward doubly SDEs with random terminal time
From MaRDI portal
(Redirected from Publication:308407)
stochastic partial differential equationsbackward doubly stochastic differential equationsEuler schemeMonte Carlo methodexit timeDirichlet conditionstochastic flow
Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Martingales and classical analysis (60G46)
Abstract: In this article, we are interested in solving numerically backward doubly stochastic differential equations (BDSDEs) with random terminal time tau. The main motivations are giving a probabilistic representation of the Sobolev's solution of Dirichlet problem for semilinear SPDEs and providing the numerical scheme for such SPDEs. Thus, we study the strong approximation of this class of BDSDEs when tau is the first exit time of a forward SDE from a cylindrical domain. Euler schemes and bounds for the discrete-time approximation error are provided.
Recommendations
- A numerical scheme for backward doubly stochastic differential equations
- Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
- Numerical Algorithms for Forward-Backward Stochastic Differential Equations
- A first order semi-discrete algorithm for backward doubly stochastic differential equations
- An implicit numerical scheme for a class of backward doubly stochastic differential equations
Cites work
- scientific article; zbMATH DE number 3883346 (Why is no real title available?)
- scientific article; zbMATH DE number 1066315 (Why is no real title available?)
- scientific article; zbMATH DE number 2124221 (Why is no real title available?)
- A general analytical result for non-linear {SPDE}'s and applications
- A numerical scheme for BSDEs
- A numerical scheme for backward doubly stochastic differential equations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Accelerated finite difference schemes for linear stochastic partial differential equations in the whole space
- Backward doubly stochastic differential equations and systems of quasilinear SPDEs
- Backward stochastic differential equations associated to a symmetric Markov process
- Backwards SDE with random terminal time and applications to semilinear elliptic PDE
- Construction of asymptotically optimal controls for control and game problems
- Density estimates for solutions to one dimensional backward SDE's
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Empirical regression method for backward doubly stochastic differential equations
- Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
- Finite element methods for parabolic stochastic PDE's
- First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations
- Fully nonlinear stochastic partial differential equations: non-smooth equations and applications
- Generalized solutions of a stochastic partial differential equation
- Maximum principle and comparison theorem for quasi-linear stochastic PDE's
- Monte-Carlo methods and stochastic processes. From linear to non-linear
- Moser iteration applied to parabolic SPDE's: first approach
- On degenerate elliptic-parabolic operators of second order and their associated diffusions
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Schéma d'Euler continu pour des diffusions tuées et options barrière
- Stochastic PDEs driven by nonlinear noise and backward doubly SDEs
- Stochastic partial differential equations with singular terminal condition
- Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
- Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
- Stopped diffusion processes: boundary corrections and overshoot
- Strong approximations of BSDEs in a domain
- Taylor expansions of solutions of stochastic partial differential equations with additive noise
- Weak approximation of killed diffusion using Euler schemes.
- Weak solutions for SPDE's and backward doubly stochastic differential equations
- \(L^p\) solutions of backward stochastic differential equations.
Cited in
(8)- Discrete approximations of generalized RBSDE with random terminal time
- Stochastic partial differential equations with singular terminal condition
- A numerical scheme for backward doubly stochastic differential equations
- Deep learning scheme for forward utilities using ergodic BSDEs
- A first order semi-discrete algorithm for backward doubly stochastic differential equations
- An implicit numerical scheme for a class of backward doubly stochastic differential equations
- A framework of BSDEs with stochastic Lipschitz coefficients
- Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
This page was built for publication: Numerical computation for backward doubly SDEs with random terminal time
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q308407)
