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math.PR2014
Probabilistic interpretation for solutions of fully Nonlinear Stochastic PDEs
Anis Matoussi, Dylan Possamai, Wissal Sabbagh
In this article, we propose a wellposedness theory for a class of second order backward doubly stochastic differential equation (2BDSDE). We prove existence and uniqueness of the s…
math.PR2014
Numerical Computation for Backward Doubly SDEs with random terminal time
Anis Matoussi, Wissal Sabbagh
In this article, we are interested in solving numerically backward doubly stochastic differential equations (BDSDEs) with random terminal time tau. The main motivations are giving…