On the discretization of backward doubly stochastic differential equations
Probability
2009-07-10 v1
Abstract
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).
Keywords
Cite
@article{arxiv.0907.1406,
title = {On the discretization of backward doubly stochastic differential equations},
author = {Omar Aboura},
journal= {arXiv preprint arXiv:0907.1406},
year = {2009}
}