Year: 2008
Type: preprint
Abstract: In this paper we present two numerical schemes of approximating solutions of backward doubly stochastic differential equations (BDSDEs for short). We give a method to discretize a BDSDE. And we also give the proof of the convergence of these two kinds of solutions for BDSDEs respectively. We give a sample of computation of BDSDEs.
Source: arXiv (Cornell University)
Authors: Shi, Yufeng, Yang, Weiqiang, Yuan, Jing
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1948416620