A Numerical scheme for backward doubly stochastic differential equations

Details A Numerical scheme for backward doubly stochastic differential equations A Numerical scheme for backward doubly stochastic differential equations

2010-11-29

arxiv.org/abs/1011.6170v2

Mathematics

Probability

The version has been greatly improved and is accepted for publication in Bernoulli

Scientific paper

In this paper we propose a numerical scheme for the class of backward doubly stochastic (BDSDEs) with possible path-dependent terminal values. We prove that our scheme converge in the strong $L^2$-sense and derive its rate of convergence. As an intermediate step we derive an $L^2$-type regularity of the solution to such BDSDEs. Such a notion of regularity which can be though of as the modulus of continuity of the paths in an $L^2$-sense, is new.

Affiliated with

Also associated with

No associations

Rating

A Numerical scheme for backward doubly stochastic differential equations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A Numerical scheme for backward doubly stochastic differential equations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Numerical scheme for backward doubly stochastic differential equations will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-220560