Numerical Method for Reflected Backward Stochastic Differential Equations

DOI10.1080/07362994.2011.610162zbMath1243.60050OpenAlexW2068532642MaRDI QIDQ3114568

Miguel Martinez, Jaime San Martín, Soledad Torres

Publication date: 19 February 2012

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

Full work available at URL: http://hdl.handle.net/10533/133179

zbMATH Keywords

Skorokhod topologybackward SDEs with reflections

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic systems in control theory (general) (93E03)

Related Items (4)

Numerical methods for backward stochastic differential equations: a survey ⋮ An overview on deep learning-based approximation methods for partial differential equations ⋮ Random walk approximation of BSDEs with Hölder continuous terminal condition ⋮ Mean square rate of convergence for random walk approximation of forward-backward SDEs

Cites Work

• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with reflection and Dynkin games
• Convergence of solutions of discrete reflected backward SDE's and simulations
• Reflected backward doubly stochastic differential equations driven by a Lévy process
• One barrier reflected backward doubly stochastic differential equations with continuous generator
• Forward-backward stochastic differential equations and their applications
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations with continuous coefficient
• A numerical scheme for BSDEs
• On the robustness of backward stochastic differential equations.
• Numerical method for backward stochastic differential equations
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Reflected forward-backward stochastic differential equations with continuous monotone coefficients
• Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
• Reflected backward stochastic differential equations driven by Lévy processes
• Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Representations and regularities for solutions to BSDEs with reflections
• Numerical methods for forward-backward stochastic differential equations
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Existence for BSDE with superlinear–quadratic coefficient
• Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
• Reflected backward stochastic differential equations with two RCLL barriers
• REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LÉVY PROCESS
• Donsker-type theorem for BSDEs

This page was built for publication: Numerical Method for Reflected Backward Stochastic Differential Equations