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Search: subject:"Anticipated backward stochastic differential equations"
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discrete penalization scheme
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reflected anticipated backward stochastic differential equations
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Numerical algorithms for reflected
anticipated
backward
stochastic
differential
equations
with two obstacles and default risk
Wang, Jingnan
;
Korn, Ralf
- In:
Risks
8
(
2020
)
3
,
pp. 1-30
We study numerical algorithms for reflected
anticipated
backward
stochastic
differential
equations
(RABSDEs) driven by …
Persistent link: https://www.econbiz.de/10013200605
Saved in:
2
Numerical algorithms for reflected
anticipated
backward
stochastic
differential
equations
with two obstacles and default risk
Wang, Jingnan
;
Korn, Ralf
- In:
Risks : open access journal
8
(
2020
)
3/72
,
pp. 1-30
We study numerical algorithms for reflected
anticipated
backward
stochastic
differential
equations
(RABSDEs) driven by …
Persistent link: https://www.econbiz.de/10012293131
Saved in:
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