numerical algorithm

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1
Numerical Algorithms for Reflected Anticipated Backward Stochastic Differential Equations with Two Obstacles and Default Risk
Jingnan Wang;Ralf Korn;Wang, Jingnan;Korn, Ralf;
2020 risks DOI: 10.3390/risks8030072 203 views
2
Numerical Algorithms for Reflected Anticipated Backward Stochastic Differential Equations with Two Obstacles and Default Risk
Jingnan Wang,Ralf Korn;Jingnan Wang;Ralf Korn;
2020 risks DOI: 10.3390/risks8030072 177 views
3
efficient numerical method for solution of boundary value problems with additional conditions
;Mirosław K. Szukiewicz
database and network journal DOI: 10.1590/0104-6632.20... 120 views

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reflected anticipated backward stochastic differential equations discrete penalization scheme discrete reflected scheme