Numerical Computations for Backward Doubly SDEs and SPDEs

Details Numerical Computations for Backward Doubly SDEs and SPDEs Numerical Computations for Backward Doubly SDEs and SPDEs

2008-05-30

arxiv.org/abs/0805.4662v2

Mathematics

Probability

23 pages, 3 figures

Scientific paper

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.

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