NUMERICAL SCHEME FOR BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS WITH TIME DELAYED COEFFICIENTS

Sarhan Falah; Jicheng Liu

doi:10.24297/jam.v12i6.3831

NUMERICAL SCHEME FOR BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS WITH TIME DELAYED COEFFICIENTS

Authors

Sarhan Falah School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan, Hubei 430074
Jicheng Liu School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan, Hubei 430074

DOI:

https://doi.org/10.24297/jam.v12i6.3831

Keywords:

Brownian motion, Backward doubly stochastic dierential equation, Conditional expectation, Time delayed coecients.

Abstract

In this paper, we present some assumptions to get the numerical scheme for backward doubly stochastic dierential delay equations (shortly-BDSDDEs), and we propose a scheme of BDSDDEs and discuss the numerical convergence and rate of convergence of our scheme.

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Published

2016-06-23

How to Cite

Falah, S., & Liu, J. (2016). NUMERICAL SCHEME FOR BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS WITH TIME DELAYED COEFFICIENTS. JOURNAL OF ADVANCES IN MATHEMATICS, 12(6), 6304–6317. https://doi.org/10.24297/jam.v12i6.3831