Artículos de revistas
Numerical Method for Reflected Backward Stochastic Differential Equations
Fecha
2011Registro en:
Stochastic Analysis and Applications, 29: 1008–1032, 2011
0736-2994
DOI: 10.1080/07362994.2011.610162
Autor
Martínez, Miguel
San Martín Aristegui, Jaime
Torres, Soledad
Institución
Resumen
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.