Discrete approximations of reflected backward stochastic differential equations with random terminal time

MaRDI QIDQ5454093zbMATH OpenFDO

Authors Katarzyna Jańczak

Publication date 3 April 2008

zbMATH Keywords

reflected backward stochastic differential equationviabilitydiscrete approximation schemerandom terminal timePDE with obstacle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited in

(13)

• scientific article; zbMATH DE number 1861566 (Why is no real title available?)
• Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
• Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
• Strong approximations of BSDEs in a domain
• BSDEs with monotone generator and two irregular reflecting barriers
• Valuing American options by simulation: a BSDEs approach
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps
• Backward stochastic differential equations with mean reflection and two constraints
• Discrete-time approximation of multidimensional BSDEs with oblique reflections
• Discrete-time approximation for continuously and discretely reflected BSDEs
• Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients
• Discrete approximations of generalized RBSDE with random terminal time
• A discrete-time approximation for doubly reflected BSDEs

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