Numerical Computations for Backward Doubly SDEs and SPDEs
Probability
2008-06-05 v2
Abstract
In this paper we present two numerical schemes of approximating solutions of backward doubly stochastic differential equations (BDSDEs for short). We give a method to discretize a BDSDE. And we also give the proof of the convergence of these two kinds of solutions for BDSDEs respectively. We give a sample of computation of BDSDEs.
Keywords
Cite
@article{arxiv.0805.4662,
title = {Numerical Computations for Backward Doubly SDEs and SPDEs},
author = {Yufeng Shi and Weiqiang Yang and Jing Yuan},
journal= {arXiv preprint arXiv:0805.4662},
year = {2008}
}
Comments
23 pages, 3 figures