Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers (Q654139)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers |
scientific article |
Statements
Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers (English)
0 references
21 December 2011
0 references
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.
0 references
backward stochastic differential equations with two continuous barriers
0 references
penalization method
0 references
discrete Brownian motiom
0 references
numerical examples
0 references
algorithm
0 references
convergence
0 references
0 references
0 references
