Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers

DOI10.1016/j.cam.2011.07.035zbMath1243.65013arXiv0803.3712OpenAlexW1977068941MaRDI QIDQ654139

Mingyu Xu

Publication date: 21 December 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.3712

zbMATH Keywords

algorithmconvergencenumerical examplespenalization methodbackward stochastic differential equations with two continuous barriersdiscrete Brownian motiom

Mathematics Subject Classification ID

Numerical computation of solutions to systems of equations (65H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles, Infinite horizon impulse control problem with continuous costs, numerical solutions, Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles, Numerical methods for backward stochastic differential equations: a survey

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