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.
翻译:提出了后向的双随机差分方程式的分裂计划,主要想法是将后向的双随机差分方程式分解成后向的随机差分方程式和随机差分方程式。 后向的随机差分方程式和随机差分方程式随后被第一级有限差分方案相近,从而形成后向的双随机差分方程式的第一顺序方案。 进行了数字实验,以说明拟议办法的趋同率。