On the discretization of backward doubly stochastic differential equations

Details On the discretization of backward doubly stochastic differential equations On the discretization of backward doubly stochastic differential equations

2009-07-09

arxiv.org/abs/0907.1406v1

Mathematics

Probability

Scientific paper

In this paper, we are dealing with the approximation of the process (Y,Z)
solution to the backward doubly stochastic differential equation with the
forward process X . After proving the L2-regularity of Z, we use the Euler
scheme to discretize X and the Zhang approach in order to give a discretization
scheme of the process (Y,Z).

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