Journal
ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE
Volume 45, Issue 2, Pages 335-360Publisher
EDP SCIENCES S A
DOI: 10.1051/m2an/2010059
Keywords
Backward stochastic differential equations; reflected stochastic differential equations with one barrier; numerical algorithm; numerical simulation
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Funding
- National Basic Research Program of China (973 Program) [2007CB814902, 2007CB814906]
- National Science Foundation [10901154/A0110]
- AMSS, CAS
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In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are introduced. Then we prove the convergence of different algorithms and present simulation results for different types of BSDEs.
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