Related papers: Wong-Zakai Approximations of Backward Doubly Stoch…
In this paper we study the homeomorphic properties of the solutions to one dimensional backward doubly stochastic differential equations under suitable assumptions, where the terminal values depend on a real parameter. Then, we apply them…
We study a Wong-Zakai approximation for the random slow manifold of a slow-fast stochastic dynamical system. We first deduce the existence of the random slow manifold about an approximation system driven by an integrated Ornstein-Uhlenbeck…
In a recent article Lanconelli and Scorolli (2021) extended to the multidimensional case a Wong-Zakai-type approximation for It\^o stochastic differential equations proposed by \Oksendal and Hu (1996). The aim of the current paper is to…
The aim of this note is to propose a novel numerical scheme for drift-less one dimensional stochastic differential equations of It\^o's type driven by standard Brownian motion. Our approximation method is equivalent to the well known…
In this paper, we deal with a class of one-dimensional reflected backward doubly stochastic differential equations with one continuous lower barrier. We derive the existence and uniqueness of solutions for these equations with Lipschitz…
In this work the existence of solutions of one-dimensional backward dou- bly stochastic differential equations (BDSDEs in short) where the coefficient is left-Lipschitz in y (may be discontinuous) and Lipschitz in z is studied. Also, the…
In this paper a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for…
We introduce a novel approach to numerical approximation of nonlinear Schr\"odinger equation with white noise dispersion in the regime of low-regularity solutions. Approximating such solutions in the stochastic setting is particularly…
In backward error analysis, an approximate solution to an equation is compared to the exact solution to a nearby modified equation. In numerical ordinary differential equations, the two agree up to any power of the step size. If the…
In this paper we propose a numerical scheme for the class of backward doubly stochastic (BDSDEs) with possible path-dependent terminal values. We prove that our scheme converge in the strong $L^2$-sense and derive its rate of convergence.…
In this work, in order to obtain higher-order schemes for solving forward backward stochastic differential equations, we adopt the high-order multi-step method in [W. Zhao, Y. Fu and T. Zhou, SIAM J. Sci. Comput., 36(4) (2014),…
We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-known homogenization or Wong--Zakai diffusion approximation…
In this work, we demonstrate the Wong-Zakai approximation results for two and three dimensional stochastic convective Brinkman-Forchheimer (SCBF) equations forced by Hilbert space valued Wiener noise on bounded domains. Even though the…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a…
We study a discrete-time approximation for solutions of systems of decoupled forward-backward doubly stochastic differential equations (FBDSDEs). Assuming that the coefficients are Lipschitz-continuous, we prove the convergence of the…
We address our attention to the numerical time discretization of stochastic Poisson systems via Poisson integrators. The aim of the investigation regards the backward error analysis of such integrators to reveal their ability of being…
We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semi-linear partial differential equations. Solving such dynamic programs…
In this note, we derive an existence and uniqueness results for delayed backward stochastic differential equation with only integrable data.
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.