NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS

被引：12

作者：

Bao, Feng ^{[1
]}

Cao, Yanzhao ^{[1
,2
]}

Zhao, Weidong ^{[3
]}

机构：

[1] Auburn Univ, Dept Math & Stat, Auburn, AL 36849 USA

[2] Sun Yat Sen Univ, Sch Math, Guangzhou, Peoples R China

[3] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

INTERNATIONAL JOURNAL FOR UNCERTAINTY QUANTIFICATION | 2011年 / 1卷 / 04期

基金：

美国国家科学基金会;

关键词：

SPDEs; Zakai equation; backward SDEs; forward backward doubly stochastic differential equations; conditional expectation; SCHEME; DISCRETIZATION; APPROXIMATIONS; IMPLICIT; SYSTEMS;

D O I：

10.1615/Int.J.UncertaintyQuantification.2011003508

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

The numerical solutions of decoupled forward backward doubly stochastic differential equations and the related stochastic partial differential equations (Zakai equations) are considered. Numerical algorithms are constructed using reference equations. Rate of convergence is obtained through rigorous error analysis. Numerical experiments are carried out to verify the rate of convergence results and to demonstrate the efficiency of the proposed numerical algorithms.

引用

页码：351 / 367

页数：17

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Chvance D., 1996, THESIS U PROVENCE MA

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