We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier …

When simulating discrete time approximations of solutions of stochastic differential equations (SDEs), numerical … Mathematics Subject Classification: primary 65C20; secondary 60H10. Key words and phrases: Stochastic differential equations … time approximate solutions of stochastic differential equations in finance. It has been shown that implicit methods provide …

differential equations (SDEs). The proposed family of strong predictor-corrector Euler methods are designed to handle scenario …This paper introduces a new class of numerical schemes for the pathwise approximation of solutions of stochastic … 222 February 2008 Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations Nicola Bruti …