On discretely reflected backward stochastic differential equations

DOI10.1080/07362994.2015.1094670zbMath1335.60100OpenAlexW2215868572MaRDI QIDQ2798167

Wilber Alexander Ventura, Andrzej Korzeniowski

Publication date: 1 April 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2015.1094670

zbMATH Keywords

backward stochastic differential equationsreflectionsPicard iterationrandom measurescàdlàg pathsFöllmer path integralsgeneralized Itō-formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic integrals (60H05) Random measures (60G57)

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A Monte Carlo method for backward stochastic differential equations with Hermite martingales

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