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reflected stochastic differential equations with one barrier

ESAIM: Mathematical Modelling and Numerical Analysis (1)

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Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations ***
Shige Peng, Mingyu Xu
Journal:

ESAIM: Mathematical Modelling and Numerical Analysis / Volume 45 / Issue 2 / March 2011

Published online by Cambridge University Press:

24 August 2010, pp. 335-360

Print publication:

March 2011
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In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are introduced. Then we prove the convergence of different algorithms and present simulation results for different types of BSDEs.