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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JOURNAL OF ADVANCES IN MATHEMATICS

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Published

2016-06-23

Issue

Vol. 12 No. 6 (2016)

Section

Articles

License

Creative Commons License All articles published in Journal of Advances in Linguistics are licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

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

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