A FIRST ORDER SEMI-DISCRETE ALGORITHM FOR BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS

被引：9

作者：

Bao, Feng ^{[1
]}

Cao, Yanzhao ^{[1
]}

Zhao, Weidong ^{[2
]}

机构：

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

[2] Shangdong Univ, Sch Math, Jinan, Peoples R China

来源：

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B | 2015年 / 20卷 / 05期

基金：

美国国家科学基金会;

关键词：

SPDEs; Zakai equation; backward SDEs; conditional expectation; TIME WHITE-NOISE; NUMERICAL-METHOD; ZAKAI EQUATION; SCHEME; APPROXIMATIONS; SYSTEMS; DRIVEN; SPDES;

D O I：

10.3934/dcdsb.2015.20.1297

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Numerical solutions of backward doubly stochastic differential equations (BDSDES) and the related stochastic partial differential equations (Zakai equations) are considered. First order algorithms are constructed using a generalized Ito-Taylor formula for two-sided stochastic differentials. The convergence order is proved through rigorous error analysis. Numerical experiments are carried out to verify the theoretical results and to demonstrate the efficiency of the proposed numerical algorithms.

引用

页码：1297 / 1313

页数：17

共 32 条

[1]

[Anonymous], 2011, J NUMER MATH STOCH

[2]

Bachouch A., ARXIV13020440

[3] Weak solutions for SPDEs and Backward Doubly Stochastic Differential Equations [J].