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L2-regularity result for solutions of backward doubly stochastic differential equations
Matematisk Institutt, Universitetet i Oslo, Norway.ORCID iD: 0000-0001-9703-0190
Institut du Risque et de l’Assurance, Le Mans, France.
2020 (English)In: Stochastics and Dynamics, ISSN 0219-4937, E-ISSN 1793-6799, Vol. 20, no 2, article id 2050012Article in journal (Refereed) Published
Abstract [en]

We prove an L2-regularity result for the solutions of Forward Backward doubly stochastic differential equations (F-BDSDEs) under globally Lipschitz continuous assumptions on the coefficients. As an application of our result, we derive the rate of convergence in time for the (Euler time discretization-based) numerical scheme for F-BDSDEs proposed by Bachouch et al. (2016) under only globally Lipschitz continuous assumptions.

Place, publisher, year, edition, pages
2020. Vol. 20, no 2, article id 2050012
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Mathematics
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URN: urn:nbn:se:mdh:diva-52821DOI: 10.1142/S0219493720500124ISI: 000522813900005Scopus ID: 2-s2.0-85069822973OAI: oai:DiVA.org:mdh-52821DiVA, id: diva2:1510259
Available from: 2020-12-15 Created: 2020-12-15 Last updated: 2023-06-26Bibliographically approved

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