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

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

2008-03-26

arxiv.org/abs/0803.3712v3

Mathematics

Probability

27 pages, 2figures

Scientific paper

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.

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