{
  "id": "1409.2149",
  "version": "v1",
  "published": "2014-09-07T18:39:19.000Z",
  "updated": "2014-09-07T18:39:19.000Z",
  "title": "Numerical Computation for Backward Doubly SDEs with random terminal time",
  "authors": [
    "Anis Matoussi",
    "Wissal Sabbagh"
  ],
  "comment": "29",
  "categories": [
    "math.PR"
  ],
  "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 semi-linear 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. We use the Euler scheme and we provide bounds for the discrete-time approximation error.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2014-09-07T18:39:19.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H15",
      "60G46",
      "35H60"
    ],
    "keywords": [
      "backward doubly sdes",
      "numerical computation",
      "doubly stochastic differential equations",
      "backward doubly stochastic differential",
      "numerically backward doubly stochastic"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2014arXiv1409.2149M"
    }
  }
}