کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6423077 1341248 2011 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 236, Issue 6, 15 October 2011, Pages 1137-1154
نویسندگان
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