Euler time discretization of backward doubly SDEs and application to semilinear SPDEs

DOI10.1007/S40072-016-0071-4zbMATH Open1351.60086arXiv1302.0440OpenAlexW2962994073MaRDI QIDQ338206FDOQ338206

Authors: Achref Bachouch, Mohamed Anis Ben Lasmar, Anis Matoussi, Mohamed Mnif 

Publication date: 4 November 2016

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems of decoupled forward-backward doubly stochastic differential equations. Under standard assumptions on the parameters, the convergence and the rate of convergence of the numerical scheme is proven. The proof is based on a generalization of the result on the path regularity of the backward equation.

Full work available at URL: https://arxiv.org/abs/1302.0440

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zbMATH Keywords

Malliavin calculusbackward doubly stochastic differential equationsEuler schemeMonte Carlo methodstochastic PDEsforward-backward system

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) 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)

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Cited In (11)

• Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures
• A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs
• Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
• A first order scheme for backward doubly stochastic differential equations
• Backward doubly SDEs and semilinear stochastic PDEs in a convex domain
• Numerical computation for backward doubly SDEs with random terminal time
• Stochastic partial differential equations with singular terminal condition
• \( L^2\)-regularity result for solutions of backward doubly stochastic differential equations
• An implicit numerical scheme for a class of backward doubly stochastic differential equations
• Splitting scheme for backward doubly stochastic differential equations
• A backward doubly stochastic differential equation approach for nonlinear filtering problems

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