Splitting scheme for backward doubly stochastic differential equations

被引：0
|
作者：
Feng Bao
Yanzhao Cao
He Zhang
机构：
[1] Florida State University,Department of Mathematics
[2] Auburn University,Department of Mathematics
[3] Jilin University,School of Mathematics
来源：
Advances in Computational Mathematics | 2023年 / 49卷
关键词：
Backward doubly stochastic differential equations; Splitting up the scheme; Stochastic partial differential equations; Zakai equations; Nonlinear filtering problems; 60H15; 65H35; 65C20; 93E11;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A splitting scheme is proposed for a class of backward doubly stochastic differential equations (BDSDEs). The main idea is to decompose the backward doubly stochastic differential equation into a backward stochastic differential equation and a stochastic differential equation, which are much easier to solve than the BDSDE itself. The two equations are then approximated by first-order finite difference schemes, which results in a first-order scheme for the backward doubly stochastic differential equation. Numerical experiments are conducted to illustrate the convergence rate of the proposed scheme.
引用
收藏
相关论文
共 50 条
  • [1] Splitting scheme for backward doubly stochastic differential equations
    Bao, Feng
    Cao, Yanzhao
    Zhang, He
    ADVANCES IN COMPUTATIONAL MATHEMATICS, 2023, 49 (04)
  • [2] A numerical scheme for backward doubly stochastic differential equations
    Aman, Auguste
    BERNOULLI, 2013, 19 (01) : 93 - 114
  • [3] A First Order Scheme for Backward Doubly Stochastic Differential Equations
    Bao, Feng
    Cao, Yanzhao
    Meir, Amnon
    Zhao, Weidong
    SIAM-ASA JOURNAL ON UNCERTAINTY QUANTIFICATION, 2016, 4 (01): : 413 - 445
  • [4] An implicit numerical scheme for a class of backward doubly stochastic differential equations
    Hu, Yaozhong
    Nualart, David
    Song, Xiaoming
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020, 130 (06) : 3295 - 3324
  • [5] On a class of backward doubly stochastic differential equations
    Jankovic, Svetlana
    Djordjevic, Jasmina
    Jovanovic, Miljana
    APPLIED MATHEMATICS AND COMPUTATION, 2011, 217 (21) : 8754 - 8764
  • [6] Anticipated backward doubly stochastic differential equations
    Xu, Xiaoming
    APPLIED MATHEMATICS AND COMPUTATION, 2013, 220 : 53 - 62
  • [7] Multivalued stochastic partial differential equations via backward doubly stochastic differential equations
    Boufoussi, B.
    Mrhardy, N.
    STOCHASTICS AND DYNAMICS, 2008, 8 (02) : 271 - 294
  • [8] Backward doubly stochastic differential equations with stochastic Lipschitz condition
    Owo, Jean-Marc
    STATISTICS & PROBABILITY LETTERS, 2015, 96 : 75 - 84
  • [9] Anticipated Generalized Backward Doubly Stochastic Differential Equations
    Wang, Tie
    Yu, Jiaxin
    SYMMETRY-BASEL, 2022, 14 (01):
  • [10] Backward doubly stochastic differential equations with discontinuous coefficients
    N'zi, Modeste
    Owo, Jean-Marc
    STATISTICS & PROBABILITY LETTERS, 2009, 79 (07) : 920 - 926
12345