Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier (Q2575557)
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scientific article; zbMATH DE number 2235642
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| English | Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier |
scientific article; zbMATH DE number 2235642 |
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Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier (English)
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5 December 2005
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The paper proves the convergence of the penalization sequence to the solution of a backward stochastic differential equation reflected to one right-continuous-with-left-limits lower barrier.
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optimal stopping
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Snell envelope
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