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- W3136773326 abstract "A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backward stochastic differential equation and a stochastic differential equation. The backward stochastic differential equation and the stochastic differential equation 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." @default.
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- W3136773326 date "2021-03-15" @default.
- W3136773326 modified "2023-09-27" @default.
- W3136773326 title "Solving Backward Doubly Stochastic Differential Equations through Splitting Schemes." @default.
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