Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers

doi:10.1016/j.cam.2011.07.035

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	Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
	Xu, Mingyu
	2011-10-15
发表期刊	JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
ISSN	0377-0427
卷号	236 期号:6 页码:1137-1154
摘要	In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers based on the framework of using a binomial tree to simulate 1-d Brownian motion. We introduce numerical algorithms by the penalization method and the reflected method, respectively. In the end simulation results are also presented. (C) 2011 Elsevier B.V. All rights reserved.
关键词	Backward stochastic differential equations with two continuous barriers Penalization method Discrete Brownian motion Numerical simulation
DOI	10.1016/j.cam.2011.07.035
语种	英语
资助项目	National Basic Research Program of China (973 Program)[2007CB814902] ; National Natural Science Foundation of China[10901152/A0110] ; AMSS ; CAS
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000298271800011
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12720
专题	应用数学研究所
通讯作者	Xu, Mingyu
作者单位	Chinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Key Lab Random Complex Struct & Data Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Xu, Mingyu. Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers[J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,2011,236(6):1137-1154.
APA	Xu, Mingyu.(2011).Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers.JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,236(6),1137-1154.
MLA	Xu, Mingyu."Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers".JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 236.6(2011):1137-1154.