Journal article
An implicit numerical scheme for a class of backward doubly stochastic differential equations
Stochastic processes and their applications, v 130(6), pp 3295-3324
Jun 2020
Abstract
In this paper, we consider a class of backward doubly stochastic differential equations (BDSDEs for short) with general terminal value and general random generator. Those BDSDEs do not involve any forward diffusion processes. By using the techniques of Malliavin calculus, we are able to establish the Lp-Hölder continuity of the solution pair. Then, an implicit numerical scheme for the BDSDE is proposed and the rate of convergence is obtained in the Lp-sense. As a by-product, we obtain an explicit representation of the process Y in the solution pair to a linear BDSDE with random coefficients.
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Details
- Title
- An implicit numerical scheme for a class of backward doubly stochastic differential equations
- Creators
- Yaozhong Hu - University of AlbertaDavid Nualart - University of KansasXiaoming Song - Drexel University
- Publication Details
- Stochastic processes and their applications, v 130(6), pp 3295-3324
- Publisher
- Elsevier
- Grant note
- DMS1512891 / NSF (http://dx.doi.org/10.13039/100000001)
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Mathematics
- Web of Science ID
- WOS:000530068500003
- Scopus ID
- 2-s2.0-85073018131
- Other Identifier
- 991019167554604721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Statistics & Probability