Numerical method for reflected backward stochastic differential equations
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- scientific article; zbMATH DE number 1069628
Cites work
- A numerical scheme for BSDEs
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Backward stochastic differential equations with continuous coefficient
- Backward stochastic differential equations with reflection and Dynkin games
- Convergence of solutions of discrete reflected backward SDE's and simulations
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Donsker-type theorem for BSDEs
- Existence for BSDE with superlinear–quadratic coefficient
- Forward-backward stochastic differential equations and their applications
- scientific article; zbMATH DE number 1619467 (Why is no real title available?)
- scientific article; zbMATH DE number 1069628 (Why is no real title available?)
- Numerical method for backward stochastic differential equations
- Numerical methods for forward-backward stochastic differential equations
- On the robustness of backward stochastic differential equations.
- One barrier reflected backward doubly stochastic differential equations with continuous generator
- Reflected backward doubly stochastic differential equations driven by a Lévy process
- Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
- Reflected backward stochastic differential equations driven by a Lévy process
- Reflected backward stochastic differential equations driven by Lévy processes
- Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
- Reflected backward stochastic differential equations with two RCLL barriers
- Reflected forward-backward stochastic differential equations with continuous monotone coefficients
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Reflected solutions of backward stochastic differential equations with continuous coefficient
- Representations and regularities for solutions to BSDEs with reflections
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
Cited in
(14)- Random walk approximation of BSDEs with Hölder continuous terminal condition
- Numerical methods for forward-backward stochastic differential equations
- Particles systems and numerical schemes for mean reflected stochastic differential equations
- An overview on deep learning-based approximation methods for partial differential equations
- Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations
- Discrete approximations of generalized RBSDE with random terminal time
- Mean square rate of convergence for random walk approximation of forward-backward SDEs
- A new numerical scheme for a class of reflected stochastic differential equations
- Numerical methods for backward stochastic differential equations: a survey
- Numerical solutions of backward stochastic differential equations: a finite transposition method
- Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
- Improved convergence rate for reflected BSDEs by penalization method
- Convergence of solutions of discrete reflected backward SDE's and simulations
- A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
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