Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers (Q654139): Difference between revisions

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Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
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    Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers (English)
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    21 December 2011
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    A new numerical algorithm for backward reflected stochastic differential equations with two continuous barriers is proposed. A penalization scheme and a reflected scheme are used for the approximation of its numerical solution. The convergences of these two schemes are proven. Numerical simulations are provided.
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    backward stochastic differential equations with two continuous barriers
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    penalization method
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    discrete Brownian motiom
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    numerical examples
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    algorithm
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    convergence
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