Numerical Method for Reflected Backward Stochastic Differential Equations

dc.creatorMartínez, Miguel
dc.creatorSan Martín Aristegui, Jaime
dc.creatorTorres, Soledad
dc.date.accessioned2014-01-09T13:25:13Z
dc.date.accessioned2019-04-25T23:52:47Z
dc.date.available2014-01-09T13:25:13Z
dc.date.available2019-04-25T23:52:47Z
dc.date.created2014-01-09T13:25:13Z
dc.date.issued2011
dc.identifierStochastic Analysis and Applications, 29: 1008–1032, 2011
dc.identifier0736-2994
dc.identifierDOI: 10.1080/07362994.2011.610162
dc.identifierhttp://repositorio.uchile.cl/handle/2250/126094
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/2430420
dc.description.abstractIn 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.
dc.languageen
dc.publisherTAYLOR & FRANCIS INC
dc.rightshttp://creativecommons.org/licenses/by-nc-nd/3.0/cl/
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Chile
dc.subjectBackward SDEs with reflections
dc.titleNumerical Method for Reflected Backward Stochastic Differential Equations
dc.typeArtículos de revistas


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