Search Results - subject:"discrete reflected scheme"

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

reflected scheme basing on a random walk approximation of the Brownian motion as well as a discrete approximation of the default … present and future values of the solution. We introduce two main algorithms, a discrete penalization scheme and a discrete …

Persistent link: https://www.econbiz.de/10013200605

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

Persistent link: https://www.econbiz.de/10012293131