Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers (Q654139)
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scientific article; zbMATH DE number 5991187
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| English | Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers |
scientific article; zbMATH DE number 5991187 |
Statements
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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0.8492653369903564
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0.841718316078186
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0.8244397044181824
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0.8149938583374023
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