Numerical Computations for Backward Doubly SDEs and SPDEs
arXiv:0805.4662
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.
23 pages, 3 figures