Numerical Method for Reflected Backward Stochastic Differential Equations

Miguel Martínez (1) , Jaime San Martín (2) , Soledad Torres (3)

1 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées
2 Departamento de Ingenieria Matematica, Centro Modelamiento Matematico
3 Departamento de Estadistica [Valparaiso]

In this article we propose a numerical method for reflected backward stochastic differential equations (RBSDE). This method is based on the simple random walk, and the convergence is related to the Skorohod topology.

Mots clés: Backward SDEs with reflections; Skorohod topology

Domaines: Probabilités [math.PR]

Miguel Martínez, Jaime San Martín, Soledad Torres. Numerical Method for Reflected Backward Stochastic Differential Equations. Stochastic Analysis and Applications, 2011, 29 (6), pp.1008-1032. ⟨10.1080/07362994.2011.610162⟩. ⟨hal-00795489⟩