Browsing by Subject "Backward SDEs with reflections"

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    • Numerical Method for Reflected Backward Stochastic Differential Equations 
      Martínez, Miguel; San Martín Aristegui, Jaime; Torres, Soledad (TAYLOR & FRANCIS INC, 2011)
      In this article we propose a numerical method for reflected backward stochastic differential equations (RBSDE). This method is based on the simple random walk, and the convergence is related to the Skorohod topology.