scholarly journals Strong and weak order of time discretization schemes of stochastic differential equations

1996 ◽  
pp. 218-227 ◽  
Author(s):  
Yaozhong Hu
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Time Discretization ◽  
Weak Order ◽  
Discretization Schemes

L2-regularity result for solutions of backward doubly stochastic differential equations

2019 ◽  
Vol 20 (02) ◽  
pp. 2050012
Author(s):  
Achref Bachouch ◽  
Anis Matoussi
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Rate Of Convergence ◽  
Numerical Scheme ◽  
Regularity Result ◽  
Time Discretization ◽  
Lipschitz Continuous ◽  
Doubly Stochastic

We prove an [Formula: see text]-regularity result for the solutions of Forward Backward doubly stochastic differential equations (F-BDSDEs) under globally Lipschitz continuous assumptions on the coefficients. As an application of our result, we derive the rate of convergence in time for the (Euler time discretization-based) numerical scheme for F-BDSDEs proposed by Bachouch et al. (2016) under only globally Lipschitz continuous assumptions.

scholarly journals High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations

2012 ◽  
Vol 34 (3) ◽  
pp. A1800-A1823 ◽  
Author(s):  
Assyr Abdulle ◽  
David Cohen ◽  
Gilles Vilmart ◽  
Konstantinos C. Zygalakis
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Weak Order ◽  
Modified Equations

Stochastic Differential Equations for Power Law Behaviors

2012 ◽  
Author(s):  
Bo Jiang ◽  
Roger Brockett ◽  
Weibo Gong ◽  
Don Towsley
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Power Law
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