Convergence of solutions of discrete reflected backward SDE's and simulations

DOI10.1007/s10255-006-6005-6zbMath1138.60049OpenAlexW2073541041MaRDI QIDQ925968

Jean Mémin, Shige Peng, Mingyu Xu

Publication date: 26 May 2008

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-006-6005-6

zbMATH Keywords

discretizationweak convergencereflected equationsbackward equationsdiscrete backward equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Functional limit theorems; invariance principles (60F17)

Related Items (11)

Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles ⋮ A Monte Carlo method for backward stochastic differential equations with Hermite martingales ⋮ Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations ⋮ Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers ⋮ Valuing American options by simulation: a BSDEs approach ⋮ Random walk approximation of BSDEs with Hölder continuous terminal condition ⋮ L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations ⋮ Numerical Method for Reflected Backward Stochastic Differential Equations ⋮ Mean square rate of convergence for random walk approximation of forward-backward SDEs

Cites Work

• Adapted solution of a backward stochastic differential equation
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• On the robustness of backward stochastic differential equations.
• Stochastic Hamilton–Jacobi–Bellman Equations

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