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Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers 期刊论文
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2011, 卷号: 236, 期号: 6, 页码: 1137-1154
Authors:  Xu, Mingyu
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Backward stochastic differential equations with two continuous barriers  Penalization method  Discrete Brownian motion  Numerical simulation  
NUMERICAL ALGORITHMS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH 1-D BROWNIAN MOTION: CONVERGENCE AND SIMULATIONS 期刊论文
ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE, 2011, 卷号: 45, 期号: 2, 页码: 335-360
Authors:  Peng, Shige;  Xu, Mingyu
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Backward stochastic differential equations  reflected stochastic differential equations with one barrier  numerical algorithm  numerical simulation  
Reflected BSDE with a constraint and its applications in an incomplete market 期刊论文
BERNOULLI, 2010, 卷号: 16, 期号: 3, 页码: 614-640
Authors:  Peng, Shige;  Xu, Mingyu
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American options in an incomplete market  backward stochastic differential equation with a constraint  reflected backward stochastic differential equation  
Comparison theorems for forward backward SDEs 期刊论文
STATISTICS & PROBABILITY LETTERS, 2009, 卷号: 79, 期号: 4, 页码: 426-435
Authors:  Wu, Zhen;  Xu, Mingyu
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Sobolev solution for semilinear PDE with obstacle under monotonicity condition 期刊论文
ELECTRONIC JOURNAL OF PROBABILITY, 2008, 卷号: 13, 页码: 1035-1067
Authors:  Matoussi, Anis;  Xu, Mingyu
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backward stochastic differential equation  reflected backward stochastic differential equation  monotonicity condition  stochastic flow  partial differential equation with obstacle