Discrete approximations of reflected backward stochastic differential equations with random terminal time
zbMATH Open1147.60036MaRDI QIDQ5454093FDOQ5454093
Authors: Katarzyna Jańczak 
Publication date: 3 April 2008
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reflected backward stochastic differential equationviabilitydiscrete approximation schemerandom terminal timePDE with obstacle
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)
Cited In (10)
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- Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
- Strong approximations of BSDEs in a domain
- Valuing American options by simulation: a BSDEs approach
- BSDEs with monotone generator and two irregular reflecting barriers
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- Backward stochastic differential equations with mean reflection and two constraints
- Discrete-time approximation for continuously and discretely reflected BSDEs
- Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients
- A discrete-time approximation for doubly reflected BSDEs
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