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An implicit numerical scheme for a class of backward doubly stochastic differential equations |
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| Institution: | 1. Department of Mathematics, Faculty of Mathematical Sciences and Statistics, Malayer University, Malayer 65719-95863, Iran;2. Department of Statistics, Faculty of Mathematical Sciences and Statistics, Malayer University, Malayer 65719-95863, Iran |
| Abstract: | |
| Keywords: | Malliavin calculus Backward doubly stochastic differential equations Explicit solution to linear BDSDE Implicit scheme Hölder continuity of the solution pairs Rate of convergence |
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