Numerical Method for Reflected Backward Stochastic Differential Equations
Martinez_Miguel_Numerical.pdf (230.4Kb)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.
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Artículo de publicación ISI
Identifier
URI: https://repositorio.uchile.cl/handle/2250/126094
DOI: DOI: 10.1080/07362994.2011.610162
ISSN: 0736-2994
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Stochastic Analysis and Applications, 29: 1008–1032, 2011
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