Approximating solutions of backward doubly stochastic differential equations with measurable coefficients using a time discretization scheme
It has been shown that backward doubly stochastic differential equations (BDSDEs) provide a probabilistic representation for a certain class of nonlinear parabolic stochastic partial differential equations (SPDEs). It has also been shown that the solution of a BDSDE with Lipschitz coefficients can b...
Saved in:
| Main Author: | |
|---|---|
| Format: | Default Thesis |
| Published: |
2015
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/20643 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|