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Wong–Zakai approximations of backward doubly stochastic differential equations

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  • Hu, Ying
  • Matoussi, Anis
  • Zhang, Tusheng

Abstract

In this paper we obtain a Wong–Zakai approximation to solutions of backward doubly stochastic differential equations (BDSDEs). The situation is quite different from the case of stochastic differential equations because the integrands in the stochastic integral are also part of the solutions.

Suggested Citation

  • Hu, Ying & Matoussi, Anis & Zhang, Tusheng, 2015. "Wong–Zakai approximations of backward doubly stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4375-4404.
    • Handle: RePEc:eee:spapps:v:125:y:2015:i:12:p:4375-4404
    DOI: 10.1016/j.spa.2015.07.003
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    References listed on IDEAS

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    1. Evans, Lawrence Christopher & Stroock, Daniel W., 2011. "An approximation scheme for reflected stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1464-1491, July.
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    Cited by:

    1. Jie Xu & Yanhua Sun & Jie Ren, 2023. "A Support Theorem for Stochastic Differential Equations Driven by a Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 36(2), pages 728-761, June.

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