A First Order Scheme for Backward Doubly Stochastic Differential Equations

作者：Bao, Feng^*; Cao, Yanzhao; Meir, Amnon; Zhao, Weidong

来源：SIAM-ASA Journal on Uncertainty Quantification, 2016, 4(1): 413-445.

DOI：10.1137/14095546X

• backward doubly stochastic differential equation
• nonlinear filter
• Ito-Taylor expansion

In this paper, a fully discrete finite difference method for the backward doubly stochastic differential equation is studied. A first order numerical algorithm is obtained using the two sided Ito-Taylor expansion. Numerical experiments verify the accuracy and efficiency of the numerical algorithm. A nonlinear tracking problem is simulated using the first order algorithm.

• 出版日期2016
• 单位中山大学; 山东大学