Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers |
| |
| Authors: | Mohamed El Otmani |
| |
| Institution: | 1. Department of Mathematics, Faculty of Sciences , Semlalia Cadi Ayyad University , Marrakesh, Morocco m.elotmani@ucam.ac.ma |
| |
| Abstract: | Abstract In this work, we interest to the simulation of solution for the BSDEs with two reflecting barriers. Specially, we present some properties of the solution, give a representation theorem and suggest a backward discretization scheme. After, we study the L 2 induced error. |
| |
| Keywords: | BSDEs Discrete time approximation Representation theorem |
|
|
