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

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 a...

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Bibliographic Details
Published inarXiv.org
Main Author Xu, Mingyu
Format Paper
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 23.09.2009
Subjects
Algorithms
Differential equations
Economic models
Mathematical analysis
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Summary: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.
ISSN:2331-8422