{
  "id": "1011.6170",
  "version": "v2",
  "published": "2010-11-29T09:56:01.000Z",
  "updated": "2011-08-03T11:37:45.000Z",
  "title": "A Numerical scheme for backward doubly stochastic differential equations",
  "authors": [
    "Auguste Aman"
  ],
  "comment": "The version has been greatly improved and is accepted for publication in Bernoulli",
  "categories": [
    "math.PR"
  ],
  "abstract": "In this paper we propose a numerical scheme for the class of backward doubly stochastic (BDSDEs) with possible path-dependent terminal values. We prove that our scheme converge in the strong $L^2$-sense and derive 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 though of as the modulus of continuity of the paths in an $L^2$-sense, is new.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2011-08-03T11:37:45.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "65C05",
      "60H07",
      "62G08"
    ],
    "keywords": [
      "backward doubly stochastic differential equations",
      "numerical scheme",
      "path-dependent terminal values",
      "type regularity",
      "intermediate step"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1011.6170A"
    }
  }
}