Numerical Computation for Backward Doubly SDEs with random terminal time
Probability
2016-10-11 v4
Abstract
In this article, we are interested in solving numerically backward doubly stochastic differential equations (BDSDEs) with random terminal time tau. The main motivations are giving a probabilistic representation of the Sobolev's solution of Dirichlet problem for semilinear SPDEs and providing the numerical scheme for such SPDEs. Thus, we study the strong approximation of this class of BDSDEs when tau is the first exit time of a forward SDE from a cylindrical domain. Euler schemes and bounds for the discrete-time approximation error are provided.
Keywords
Cite
@article{arxiv.1409.2149,
title = {Numerical Computation for Backward Doubly SDEs with random terminal time},
author = {Anis Matoussi and Wissal Sabbagh},
journal= {arXiv preprint arXiv:1409.2149},
year = {2016}
}
Comments
38, Monte Carlo Methods and Applications (MCMA) 2016