Convergence of solutions of discrete reflected backward SDE’s and simulations. (English) Zbl 1138.60049
Summary: The objective of this paper is to introduce elementary discrete reflected backward equations and to give a simple method to discretize in time a (continuous) reflected backward equation. A presentation of numerical simulations is also described.
MSC:
| 60H35 | Computational methods for stochastic equations (aspects of stochastic analysis) |
| 60F17 | Functional limit theorems; invariance principles |
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
Keywords:
reflected equations; backward equations; weak convergence; discretization; discrete backward equationsReferences:
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