Abstract
In this article we propose a numerical method for reflected backward stochastic differential equations (RBSDE). This method is based on the simple random walk, and the convergence is related to the Skorohod topology. © 2011 Copyright Taylor and Francis Group, LLC.
Author supplied keywords
Register to see more suggestions
Mendeley helps you to discover research relevant for your work.
Already have an account? Sign in
Sign up for freeCite
CITATION STYLE
APA
Martínez, M., San Martín, J., & Torres, S. (2011). Numerical Method for Reflected Backward Stochastic Differential Equations. Stochastic Analysis and Applications, 29(6), 1008–1032. https://doi.org/10.1080/07362994.2011.610162
Readers over time
Readers' Seniority
Readers' Discipline
