Omar Aboura
Published 2009-07-09Version 1
In this paper, we are dealing with the approximation of the process (Y,Z) solution to the backward doubly stochastic differential equation with the forward process X . After proving the L2-regularity of Z, we use the Euler scheme to discretize X and the Zhang approach in order to give a discretization scheme of the process (Y,Z).
The Euler scheme for Feller processes
Probabilistic representation of parabolic stochastic variational inequality with Dirichlet-Neumann boundary and variational generalized backward doubly stochastic differential equations
L^{p}-solutions of backward doubly stochastic differential equations
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