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.
引用
收藏
页码：1 / 18
页数：17
相关论文
共 50 条
  • [31] Forward, backward, and symmetric solutions of discrete ARMA representations
    N. P. Karampetakis
    J. Jones
    E. N. Antoniou
    Circuits, Systems and Signal Processing, 2001, 20 : 89 - 109
  • [32] Forward, backward, and symmetric solutions of discrete ARMA representations
    Karampetakis, NP
    Jones, J
    Antoniou, EN
    CIRCUITS SYSTEMS AND SIGNAL PROCESSING, 2001, 20 (01) : 89 - 109
  • [33] Convergence of the solutions of the discounted equation: the discrete case
    Davini, Andrea
    Fathi, Albert
    Iturriaga, Renato
    Zavidovique, Maxime
    MATHEMATISCHE ZEITSCHRIFT, 2016, 284 (3-4) : 1021 - 1034
  • [34] EXISTENCE AND CONVERGENCE OF SOLUTIONS OF DISCRETE VARIATIONAL PROBLEMS
    MITTELMANN, HD
    ZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND MECHANIK, 1975, 55 (04): : 255 - 257
  • [35] Asymptotic convergence of the solutions of a discrete system with delays
    Diblik, J.
    Ruzickova, M.
    Suta, Z.
    APPLIED MATHEMATICS AND COMPUTATION, 2012, 219 (08) : 4036 - 4044
  • [36] Convergence of the solutions of the discounted equation: the discrete case
    Andrea Davini
    Albert Fathi
    Renato Iturriaga
    Maxime Zavidovique
    Mathematische Zeitschrift, 2016, 284 : 1021 - 1034
  • [37] Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
    Xu, Mingyu
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2011, 236 (06) : 1137 - 1154
  • [38] Forward-Reflected-Backward Splitting Algorithms with Momentum: Weak, Linear and Strong Convergence Results
    Yao, Yonghong
    Adamu, Abubakar
    Shehu, Yekini
    JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2024, 201 (03) : 1364 - 1397
  • [39] Convergence Analysis of a New Forward-Reflected-Backward Algorithm for Four Operators Without Cocoercivity
    Cao, Yu
    Wang, Yuanheng
    Rehman, Habib Ur
    Shehu, Yekini
    Yao, Jen-Chih
    JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2024, 203 (01) : 256 - 284
  • [40] FAST APPROXIMATION OF SOLUTIONS OF SDE'S WITH OBLIQUE REFLECTION ON AN ORTHANT
    Czarkowski, Krzysztof T.
    PROBABILITY AND MATHEMATICAL STATISTICS-POLAND, 2010, 30 (01): : 167 - 182
12345