Numerical Computations for Backward Doubly SDEs and SPDEs
From MaRDI portal
Publication:6209724
arXiv0805.4662MaRDI QIDQ6209724FDOQ6209724
Authors: Yufeng Shi, Wei-Qiang Yang, Jing Yuan 
Publication date: 29 May 2008
Abstract: In this paper we present two numerical schemes of approximating solutions of backward doubly stochastic differential equations (BDSDEs for short). We give a method to discretize a BDSDE. And we also give the proof of the convergence of these two kinds of solutions for BDSDEs respectively. We give a sample of computation of BDSDEs.
This page was built for publication: Numerical Computations for Backward Doubly SDEs and SPDEs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6209724)
