|
|||||
|
|
Numerical Method for Reflected Backward Stochastic Differential Equations |
|
| Authors: | Miguel Martínez Jaime San Martín |
| Affiliation: | 1. Laboratoire d'Analyse et de Mathématiques Appliqueés , Université de Marne-La-Vallée , Champs-sur-Marne , France;2. Facultad de Ciencias Físicas y Matemáticas, Departamento de Ingeniería Matemática and CMM-CNRS UMI 2807 , Universidad de Chile , Santiago , Chile |
| 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. |
| Keywords: | Backward SDEs with reflections Skorohod topology |