Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles (Q281870)
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scientific article; zbMATH DE number 6579274
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles |
scientific article; zbMATH DE number 6579274 |
Statements
Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles (English)
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11 May 2016
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doubly reflected backward stochastic differential equations
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Skorokhod topology
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numerical scheme
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penalization method
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