A converse comparison theorem for BSDEs and related properties of -expectation.
Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations
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.
The smallest g-supermartingale and reflected BSDE with single and double obstacles
Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations
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.
Page 1