Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers

DOI10.1080/07362990701670266zbMath1156.60053MaRDI QIDQ5443465

Mohamed El Otmani

Publication date: 21 February 2008

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990701670266

zbMATH Keywords

BSDE; discrete time approximation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

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