Numerical Computation for Backward Doubly SDEs with random terminal time

Abstract : In this article, we are interested in solving numerically backward doubly stochastic differential equations (BDSDEs) with random terminal time tau. The main motivations are giving a probabilistic representation of the Sobolev's solution of Dirichlet problem for semilinear SPDEs and providing the numerical scheme for such SPDEs. Thus, we study the strong approximation of this class of BDSDEs when tau is the first exit time of a forward SDE from a cylindrical domain. Euler schemes and bounds for the discrete-time approximation error are provided.
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https://hal.archives-ouvertes.fr/hal-01740713
Contributor : Anis Matoussi <>
Submitted on : Thursday, March 22, 2018 - 11:58:22 AM
Last modification on : Friday, July 20, 2018 - 11:13:33 AM
Long-term archiving on : Thursday, September 13, 2018 - 3:16:35 AM

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  • HAL Id : hal-01740713, version 1
  • ARXIV : 1409.2149

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Anis Matoussi, Wissal Sabbagh. Numerical Computation for Backward Doubly SDEs with random terminal time. 2018. ⟨hal-01740713⟩

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