Weak error expansion of the implicit Euler scheme
In this paper, we extend the Talay Tubaro theorem to the implicit Euler scheme.
math.PR↗
arXiv subjects
Omar Aboura
Publications and source records attributed to Omar Aboura.
Weak error in negative Sobolev spaces for the stochastic heat equation
In this paper, we make another step in the study of weak error of the stochastic heat equation by considering norms as functional.
math.PR↗
Density estimates for solutions to one dimensional Backward SDE's
In this paper, we derive sufficient conditions for each component of the solution to a general backward stochastic differential equation to have a density for which upper and lower Gaussian estimates can be obtained.
math.PR↗
A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations
This paper extends the idea of E.Gobet, J.P.Lemor and X.Warin from the setting of Backward Stochastic Differential Equations to that of Backward Doubly Stochastic Differential equations. We propose some numerical approximation scheme of these equations introduced by E.Pardoux and S.Peng.
math.PR↗
On the discretization of backward doubly stochastic differential equations
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).
math.PR↗