Wong-Zakai Approximations of Backward Doubly Stochastic Doubly Backward Differential Equations

Ying Hu (1) , Anis Matoussi (2) , Tusheng Zhang (3)

1 IRMAR - Institut de Recherche Mathématique de Rennes
2 LMM - Laboratoire Manceau de Mathématiques
3 School of Mathematics - Department of Mathematics [Manchester]

In this paper we obtain a Wong-Zakai approximation to solutions of backward doubly stochastic differential equations.

Mots clés: Backward stochastic differential equations; Wong–Zakai approximations; Backward integrals

Domaines: Probabilités [math.PR]

Ying Hu, Anis Matoussi, Tusheng Zhang. Wong-Zakai Approximations of Backward Doubly Stochastic Doubly Backward Differential Equations. Stochastic Processes and their Applications, 2015, 125 (12), pp.4375-4404. ⟨10.1016/j.spa.2015.07.003⟩. ⟨hal-01058778⟩