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Numerical method for reflected backward stochastic differential equations. (English) Zbl 1243.60050

A numerical method to approximate the solutions of reflected backward stochastic differential equations of the form \[ Y_t= \xi+ \int^T_t f(s, Y_s, Z_s)\,ds- \int^T_t Z_s dB_s+ K_T- K_t,\quad 0\leq t\leq T, \] where \(Y_t\geq S_t\), \(0\leq t\leq T\) and \(\int^T_0 (Y_t- S_t)\,dK_t= 0\), is presented and convergence is proved. The paper concludes by presenting an alternative procedure and proving its convergence.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
34F05 Ordinary differential equations and systems with randomness
93E03 Stochastic systems in control theory (general)
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