Convergence of solutions of discrete reflected backward SDE's and simulations (Q925968): Difference between revisions
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| Property / cites work: On the robustness of backward stochastic differential equations. / rank | |||
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| Property / cites work: Reflected solutions of backward SDE's, and related obstacle problems for PDE's / rank | |||
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| Property / cites work: Adapted solution of a backward stochastic differential equation / rank | |||
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| Property / cites work: Stochastic Hamilton–Jacobi–Bellman Equations / rank | |||
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Revision as of 09:44, 28 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence of solutions of discrete reflected backward SDE's and simulations |
scientific article |
Statements
Convergence of solutions of discrete reflected backward SDE's and simulations (English)
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26 May 2008
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reflected equations
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backward equations
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weak convergence
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discretization
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discrete backward equations
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