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hal-00403667, version 1

Numerical scheme for backward doubly stochastic differential equations

Auguste Aman () 1

This work is partially performed when the author stay at Cadi Ayyad university (2009)

Abstract: We study a discrete-time approximation for solutions of systems of decoupled forward-backward doubly stochastic differential equations (FBDSDEs). Assuming that the coefficients are Lipschitz-continuous, we prove the convergence of the scheme when the step of time discretization, $|\pi|$ goes to zero. The rate of convergence is exactly equal to $|\pi|^{1/2}$. The proof is based on a generalization of a remarkable result on the $^{2}$-regularity of the solution of the backward equation derived by J. Zhang

  • 1:  Laboratoire de Mathématiques Appliquées et Informatique (LMAI)
  • Université de Cocody
  • Domain : Mathematics/Probability
  • Keywords : Backward doubly SDEs – Discrete-time approximation
  • Comment : 17 page – submitted to Electronic journal of Probability
 
  • hal-00403667, version 1
  • http://hal.archives-ouvertes.fr/hal-00403667
  • oai:hal.archives-ouvertes.fr:hal-00403667
  • From: Auguste Aman <>
  • Submitted on: Saturday, 11 July 2009 15:20:55
  • Updated on: Sunday, 12 July 2009 14:04:40