5 citations · 6 across the 2 of their papers we have counts for
2 papers
math.PR2008★ 5 cited
Numerical Computations for Backward Doubly SDEs and SPDEs
Yufeng Shi, Weiqiang Yang, Jing Yuan
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…
math.PR2008★ 1 cited
Reflected Solutions of Backward Doubly Stochastic Differential Equations
Weiqiang Yang, Yufeng Shi, Yangling Gu
We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The "reflected" keeps the solution above a given stochastic pro…