L2-regularity result for solutions of backward doubly stochastic differential equations
Keyword(s):
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.
2020 ◽
Vol 130
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pp. 3295-3324
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pp. 358-379
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2011 ◽
Vol 30
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pp. 965-976
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2018 ◽
Vol 36
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