Numerical Method for Reflected Backward Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
Numerical Method for Backward Stochastic Differential Equations
We propose a method for numerical approximation of Backward Stochastic Differential Equations. Our method allows the final condition of the equation to be quite general and simple to implement. It relies on an approximation of Brownian Motion by simple random walk.
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2011
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362994.2011.610162