arXiv:0803.3712 Abstract | arXiv Analytics

arXiv:0803.3712 [math.PR]Abstract References Reviews Resources

Numerical Algorithms and Simulations for Reflected Backward Stochastic Differential Equations with two Continuous Barriers

Published 2008-03-26, updated 2009-09-23Version 3

In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers basing on random work framework. We introduce different numerical algorithms by penalization method and reflected method. At last simulation results are also presented.

Comments: 27 pages, 2figures

Categories: math.PR

Subjects: 60H10, 34K28

Keywords: reflected backward stochastic differential equations, numerical algorithms, continuous barriers, simulation, random work framework

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