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Journal Articles Stochastic Analysis and Applications Year : 2011

Numerical Method for Reflected Backward Stochastic Differential Equations

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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hal-00795489 , version 1 (28-02-2013)

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Miguel Martínez, Jaime San Martín, Soledad Torres. Numerical Method for Reflected Backward Stochastic Differential Equations. Stochastic Analysis and Applications, 2011, 29 (6), pp.1008-1032. ⟨10.1080/07362994.2011.610162⟩. ⟨hal-00795489⟩
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