Numerical computation for backward doubly SDEs with random terminal time

DOI10.1515/MCMA-2016-0111zbMATH Open1346.60107arXiv1409.2149OpenAlexW2277126288MaRDI QIDQ308407FDOQ308407

Authors: Anis Matoussi, Wissal Sabbagh 

Publication date: 6 September 2016

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

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.

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

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zbMATH Keywords

stochastic partial differential equationsbackward doubly stochastic differential equationsEuler schemeMonte Carlo methodexit timeDirichlet conditionstochastic flow

Mathematics Subject Classification ID

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)

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• A framework of BSDEs with stochastic Lipschitz coefficients
• Discrete approximations of generalized RBSDE with random terminal time

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