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

Mingyu Xu

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

Probability 2009-09-23 v3

Authors: Mingyu Xu

Abstract

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.

Keywords

reflected backward stochastic differential equations backward stochastic differential equations differential equations

Cite

@article{arxiv.0803.3712,
  title  = {Numerical Algorithms and Simulations for Reflected Backward Stochastic Differential Equations with two Continuous Barriers},
  author = {Mingyu Xu},
  journal= {arXiv preprint arXiv:0803.3712},
  year   = {2009}
}

Comments

27 pages, 2figures

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