Solving Backward Doubly Stochastic Differential Equations through Splitting Schemes
Authors: Feng Bao, Yanzhao Cao, He Zhang
Abstract: A splitting scheme for backward doubly stochastic differential equations is proposed. The main idea is to decompose a backward doubly stochastic differential equation into a backward stochastic differential equation and a stochastic differential equation. The backward stochastic differential equation and the stochastic differential equation are then approximated by first order finite difference schemes, which results in a first order scheme for the backward doubly stochastic differential equation. Numerical experiments are conducted to illustrate the convergence rate of the proposed scheme.
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