Numerical Computations for Backward Doubly SDEs and SPDEs

Yufeng Shi; Weiqiang Yang; Jing Yuan

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arXiv · 0805.4662

Numerical Computations for Backward Doubly SDEs and SPDEs

Yufeng Shi·Weiqiang Yang·Jing Yuan

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Abstract

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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BibTeX RIS

Yufeng Shi, Weiqiang Yang, Jing Yuan. 2008-06-05. Numerical Computations for Backward Doubly SDEs and SPDEs. https://arxiv.org/abs/0805.4662

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