Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
文献类型：期刊论文
| 作者 | Xu, Mingyu
|
| 刊名 | JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
 |
| 出版日期 | 2011-10-15 |
| 卷号 | 236期号:6页码:1137-1154 |
| 关键词 | Backward stochastic differential equations with two continuous barriers Penalization method Discrete Brownian motion Numerical simulation |
| ISSN号 | 0377-0427 |
| DOI | 10.1016/j.cam.2011.07.035 |
| 英文摘要 | 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. (C) 2011 Elsevier B.V. All rights reserved. |
| 语种 | 英语 |
| WOS记录号 | WOS:000298271800011 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/12719]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Xu, Mingyu |
| 作者单位 | Chinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Key Lab Random Complex Struct & Data Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xu, Mingyu. Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers[J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,2011,236(6):1137-1154. |
| APA | Xu, Mingyu.(2011).Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers.JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,236(6),1137-1154. |
| MLA | Xu, Mingyu."Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers".JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 236.6(2011):1137-1154. |
入库方式： OAI收割
来源：数学与系统科学研究院
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