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

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.

Constrained BSDE and Viscosity Solutions of Variation Inequalities

In this paper, we study the relation between the smallest $g$-supersolution of constraint backward stochastic differential equation and viscosity solution of constraint semilineare parabolic PDE, i.e. variation inequalities. And we get an existence result of variation inequalities via constraint BSDE, and prove a uniqueness result under certain condition.

Reflected backward SDEs with two barriers under monotonicity and general increasing conditions

In this paper, we prove the existence and uniqueness result of the reflected BSDE with two continuous barriers under monotonicity and general increasing condition on $y$, with Lipschitz condition on $z$.