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Numerical Algorithms and Simulations for Reflected Backward Stochastic Differential Equations with two Continuous Barriers

173   0   0.0 ( 0 )
 Added by Mingyu Xu
 Publication date 2009
  fields
and research's language is English
 Authors Mingyu Xu




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In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers basing on random work framework. We introduce different numerical algorithms by penalization method and reflected method. At last simulation results are also presented.



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