Numerical Method for Reflected Backward Stochastic Differential Equations

被引：4

作者：

Martinez, Miguel ^{[3
]}

San Martin, Jaime ^{[4
,5
]}

Torres, Soledad ^{[1
,2
]}

机构：

[1] Univ Valparaiso, DEUV, Casilla 5030, Valparaiso, Chile

[2] Univ Valparaiso, CIMFAV, Valparaiso, Chile

[3] Univ Marne La Vallee, Lab Anal & Math Appl, Champs Sur Marne, France

[4] Univ Chile, Fac Ciencias Fis & Matemat, Dept Ingn Matemat, Santiago, Chile

[5] Univ Chile, CMM CNRS UMI 2807, Santiago, Chile

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2011年 / 29卷 / 06期

关键词：

Backward SDEs with reflections; Skorohod topology; SDES; MONOTONICITY; CONVERGENCE; DRIVEN;

D O I：

10.1080/07362994.2011.610162

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this article we propose a numerical method for reflected backward stochastic differential equations (RBSDE). This method is based on the simple random walk, and the convergence is related to the Skorohod topology.

引用

页码：1008 / 1032

页数：25

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