  A splitting scheme for backward doubly stochastic differential equations is
proposed. The main idea is to decompose a backward doubly stochastic
differential equation into a backward stochastic differential equation and a
stochastic differential equation. The backward stochastic differential equation
and the stochastic differential equation are then approximated by first order
finite difference schemes, which results in a first order scheme for the
backward doubly stochastic differential equation. Numerical experiments are
conducted to illustrate the convergence rate of the proposed scheme.
