Wong-Zakai approximations of backward doubly stochastic differential equations

DOI10.1016/J.SPA.2015.07.003MaRDI QIDQ744969zbMATH OpenOpenAlexFDO

Authors Ying Hu, Anis Matoussi, Tu-Sheng Zhang

Publication date 12 October 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1408.0569

zbMATH Keywords

backward doubly stochastic differential equationsWong-Zakai approximationsbackward integrals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Abstract: In this paper we obtain a Wong-Zakai approximation to solutions of backward doubly stochastic differential equations.

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Cites work

• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• An approximation scheme for reflected stochastic differential equations
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• On the Convergence of Ordinary Integrals to Stochastic Integrals
• On the relation between ordinary and stochastic differential equations
• Sobolev solution for semilinear PDE with obstacle under monotonicity condition
• Strong convergence of Wong-Zakai approximations of reflected SDEs in a multidimensional general domain
• The obstacle problem for quasilinear stochastic PDE's
• The obstacle problem for quasilinear stochastic PDEs: analytical approach
• Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces

Cited in

(10)

• scientific article; zbMATH DE number 7572906 (Why is no real title available?)
• On approximations for reflected SDEs and SPDEs with Neumann boundary conditions
• A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs
• Wong-Zakai approximations for stochastic differential equations with path-dependent coefficients
• Backward doubly stochastic differential equations and SPDEs with quadratic growth
• Wong-Zakai approximations for stochastic Volterra equations
• Noncausal calculus approach to Wong-Zakai's theorem on the approximation of SDE by physically realizable model
• A support theorem for stochastic differential equations driven by a fractional Brownian motion
• Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs
• Wong-Zakai approximations and support theorems for stochastic McKean-Vlasov equations

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