Solving Backward Doubly Stochastic Differential Equations through Splitting Schemes
Numerical Analysis
2021-03-17 v1 Numerical Analysis
Abstract
A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backward stochastic differential equation and a stochastic differential equation. The backward stochastic differential equation and the stochastic differential equation are then approximated by first order finite difference schemes, which results in a first order scheme for the backward doubly stochastic differential equation. Numerical experiments are conducted to illustrate the convergence rate of the proposed scheme.
Keywords
Cite
@article{arxiv.2103.08632,
title = {Solving Backward Doubly Stochastic Differential Equations through Splitting Schemes},
author = {Feng Bao and Yanzhao Cao and He Zhang},
journal= {arXiv preprint arXiv:2103.08632},
year = {2021}
}