Numerical Method for Reflected Backward Stochastic Differential Equations
| Author | dc.contributor.author | Martínez, Miguel | |
| Author | dc.contributor.author | San Martín Aristegui, Jaime | es_CL |
| Author | dc.contributor.author | Torres, Soledad | es_CL |
| Admission date | dc.date.accessioned | 2014-01-09T13:25:13Z | |
| Available date | dc.date.available | 2014-01-09T13:25:13Z | |
| Publication date | dc.date.issued | 2011 | |
| Cita de ítem | dc.identifier.citation | Stochastic Analysis and Applications, 29: 1008–1032, 2011 | en_US |
| Identifier | dc.identifier.issn | 0736-2994 | |
| Identifier | dc.identifier.other | DOI: 10.1080/07362994.2011.610162 | |
| Identifier | dc.identifier.uri | https://repositorio.uchile.cl/handle/2250/126094 | |
| General note | dc.description | Artículo de publicación ISI | en_US |
| Abstract | dc.description.abstract | 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. | en_US |
| Lenguage | dc.language.iso | en | en_US |
| Publisher | dc.publisher | TAYLOR & FRANCIS INC | en_US |
| Type of license | dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Chile | * |
| Link to License | dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ | * |
| Keywords | dc.subject | Backward SDEs with reflections | en_US |
| Título | dc.title | Numerical Method for Reflected Backward Stochastic Differential Equations | en_US |
| Document type | dc.type | Artículo de revista |
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