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Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
Humboldt University of Berlin, Berlin, Germany.ORCID iD: 0000-0001-9703-0190
University of Tunis El Manar, Tunis, Tunisia.
Université du Maine, Le Mans, France.
University of Tunis El Manar, Tunis, Tunisia.
2016 (English)In: Stochastics and Partial Differential Equations: Analysis and Computations, ISSN 2194-0401, Vol. 4, p. 592-634Article in journal (Refereed) Published
Abstract [en]

This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems of decoupled forward-backward doubly stochastic differential equations. Under standard assumptions on the parameters, the convergence and the rate of convergence of the numerical scheme is proven. The proof is based on a generalization of the result on the path regularity of the backward equation.

Place, publisher, year, edition, pages
2016. Vol. 4, p. 592-634
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-52818DOI: 10.1007/s40072-016-0071-4ISI: 000406353100004Scopus ID: 2-s2.0-85063599660OAI: oai:DiVA.org:mdh-52818DiVA, id: diva2:1510229
Available from: 2020-12-15 Created: 2020-12-15 Last updated: 2020-12-16Bibliographically approved

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Bachouch, Achref

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