On the discretization of backward doubly stochastic differential equations

Abstract

In this paper, we are dealing with the approximation of the process (Y,Z) solution to the backward doubly stochastic differential equation with the forward process X . After proving the L2-regularity of Z, we use the Euler scheme to discretize X and the Zhang approach in order to give a discretization scheme of the process (Y,Z).

References in corpus (2)

• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Numerical Computations for Backward Doubly SDEs and SPDEs