discrete penalization scheme

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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 212 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 182 views

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numerical algorithm reflected anticipated backward stochastic differential equations discrete reflected scheme