Wong-Zakai approximations of backward doubly stochastic differential equations

DOI10.1016/J.SPA.2015.07.003zbMATH Open1325.60089arXiv1408.0569OpenAlexW51810813MaRDI QIDQ744969FDOQ744969

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)

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

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

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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)

Cites Work

• Sobolev solution for semilinear PDE with obstacle under monotonicity condition
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
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• Adapted solution of a backward stochastic differential equation
• The obstacle problem for quasilinear stochastic PDE's
• On the Convergence of Ordinary Integrals to Stochastic Integrals
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• Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
• Strong convergence of Wong-Zakai approximations of reflected SDEs in a multidimensional general domain
• An approximation scheme for reflected stochastic differential equations

Cited In (9)

• Title not available (Why is that?)
• 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
• 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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