Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers

DOI10.1080/07362990701670266zbMath1156.60053OpenAlexW2059113369MaRDI QIDQ5443465

Mohamed El Otmani

Publication date: 21 February 2008

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

Full work available at URL: https://doi.org/10.1080/07362990701670266

zbMATH Keywords

BSDEdiscrete time approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (2)

Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient ⋮ Double barrier reflected BSDEs with stochastic Lipschitz coefficient

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