Euler time discretization of Backward Doubly SDEs and Application to Semilinear SPDEs
Probability
2015-09-21 v6
Abstract
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems of decoupled forward-backward doubly stochastic differential equations. Under standard assumptions on the parameters, the convergence and the rate of convergence of the numerical scheme is proven. The proof is based on a generalization of the result on the path regularity of the backward equation.
Keywords
Cite
@article{arxiv.1302.0440,
title = {Euler time discretization of Backward Doubly SDEs and Application to Semilinear SPDEs},
author = {Achref Bachouch and Mohamed Anis Ben Lasmar and Anis Matoussi and Mohamed Mnif},
journal= {arXiv preprint arXiv:1302.0440},
year = {2015}
}
Comments
35 pages, 1 figure