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| HAL: hal-00360830, version 1 |
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| ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 24, 1 (2008) 1-18 |
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| Convergence of solutions of discrete reflected backward SDE's and simulations |
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| Jean Mémin 1Shige Peng 2 |
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| (2008) |
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| The objective of this paper is to introduce elementary discrete reflected backward equations and to give a simple method to discretize in time a (continuous) reflected backward equation. A presentation of numerical simulations is also described. |
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| 1: | Institut de Recherche Mathématique de Rennes (IRMAR) |
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CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – Institut National des Sciences Appliquées (INSA) : - RENNES – Université de Rennes II - Haute Bretagne |
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| 2: | Shandong Universtity (INSTITUTE OF MATHEMATICS) |
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Shandong University |
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| Subject | : | Mathematics/Probability |
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| reflected equations – backward equations – weak convergence – discretization – discrete backward equations |
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| hal-00360830, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00360830 | |
| oai:hal.archives-ouvertes.fr:hal-00360830 | |
| From: Maryse Collin | |
| Submitted on: Thursday, 12 February 2009 11:24:33 | |
| Updated on: Thursday, 18 March 2010 15:16:20 | |
