An implicit numerical scheme for a class of backward doubly stochastic differential equations-Reference-Cited by-同舟云学术

An implicit numerical scheme for a class of backward doubly stochastic differential equations

Published:2020-06 Issue:6 Volume:130 Page:3295-3324
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Hu Yaozhong,Nualart David,Song Xiaoming

Funder

National Science Foundation

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference21 articles.

1. A numerical scheme for backward doubly stochastic differential equations;Aman;Bernoulli,2013

2. Euler time discretization of backward doubly SDEs and application to semilinear SPDEs;Bachouch;Stoch. Partial Differ. Equ. Anal. Comput.,2016

3. Empirical regression method for backward doubly stochastic differential equations;Bachouch;SIAM/ASA J. Uncertain. Quantif.,2016

4. A. Bachouch, A. Matoussi, Zhang L2 -regularity for the solutions of forward backward doubly stochastic differential equations under globally lipschitz continuous assumptions (submitted for publication).

5. Approximation scheme for solutions of BSDE;Bally,1997

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