A discrete-time approximation for doubly reflected BSDEs

DOI10.1239/aap/1240319578zbMath1166.65001OpenAlexW2050124602MaRDI QIDQ3625648

Jean-François Chassagneux

Publication date: 6 May 2009

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1240319578

zbMATH Keywords

convergenceforward-backward stochastic differential equationsEuler schemesreflecting barriers

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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