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Euler-Maruyama approximation of backward doubly stochastic differential delay equations
- Source :
- International Journal of Applied Mathematical Research. 5:146
- Publication Year :
- 2016
- Publisher :
- Science Publishing Corporation, 2016.
-
Abstract
- In this paper, we attempt to introduce a new numerical approach to solve backward doubly stochastic differential delay equation ( shortly-BDSDDEs ). In the beginning, we present some assumptions to get the numerical scheme for BDSDDEs, from which we prove important theorem. We use the relationship between backward doubly stochastic differential delay equations and stochastic controls by interpreting BDSDDEs as some stochastic optimal control problems, to solve the approximated BDSDDEs and we prove that the numerical solutions of backward doubly stochastic differential delay equation converge to the true solution under the Lipschitz condition.
- Subjects :
- Stochastic control
Approximation theory
010102 general mathematics
Mathematical analysis
Lipschitz continuity
Conditional expectation
01 natural sciences
Stochastic partial differential equation
010104 statistics & probability
symbols.namesake
Stochastic differential equation
Euler's formula
symbols
0101 mathematics
Differential (mathematics)
Mathematics
Subjects
Details
- ISSN :
- 22274324
- Volume :
- 5
- Database :
- OpenAIRE
- Journal :
- International Journal of Applied Mathematical Research
- Accession number :
- edsair.doi...........ddd3d3c94b6b3d0632288368bff6da3e