Convergence of solutions of discrete reflected backward SDE’s and simulations

被引：0
|
作者：
Jean Mémin
Shi-ge Peng
Ming-yu Xu
机构：
[1] Shandong University,Institute of Mathematics
[2] Université de Rennes1,IRMAR
[3] Campus de Beaulieu,Lab. de Stat et Processus
[4] Université du Maine,undefined
来源：
Acta Mathematicae Applicatae Sinica, English Series | 2008年 / 24卷
关键词：
Reflected equations; backward equations; weak convergence; discretization; discrete backward equations; 60F17; 60H10;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The objective of this paper is to introduce elementary discrete reflected backward equations and to give a simple method to discretize in time a (continuous) reflected backward equation. A presentation of numerical simulations is also described.
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页码：1 / 18
页数：17
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