Work

A numerical scheme for backward doubly stochastic differential equations

Year: 2013

Type: article

Abstract: In this paper we propose a numerical scheme for the class of backward doubly stochastic differential equations (BDSDEs) with possible path-dependent terminal values. We prove that our scheme converges in the strong $L^{2}$-sense and derives its rate of convergence. As an intermediate step we derive an $L^{2}$-type regularity of the solution to such BDSDEs. Such a notion of regularity, which can be thought of as the modulus of continuity of the paths in an $L^{2}$-sense, is new.

Source: Bernoulli

DOI: 10.3150/11-bej391

Author: Auguste Aman

Institution: Université Félix Houphouët-Boigny

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funder: Université Cadi Ayyad

OpenAlex ID: W2343823950