Numerical Algorithms for Reflected Anticipated Backward Stochastic Differential Equations with Two Obstacles and Default Risk

Numerical Algorithms for Reflected Anticipated Backward Stochastic Differential Equations with Two Obstacles and Default Risk

We study numerical algorithms for reflected anticipated backward stochastic differential equations (RABSDEs) driven by a Brownian motion and a mutually independent martingale in a defaultable setting. The generator of a RABSDE includes the present and future values of the solution. We introduce two...

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Bibliographic Details
Main Authors: Jingnan Wang, Ralf Korn
Format: Article
Language:English
Published: MDPI AG 2020-07-01
Series:Risks
Subjects:
numerical algorithm
reflected anticipated backward stochastic differential equations
discrete penalization scheme
discrete reflected scheme
Online Access:https://www.mdpi.com/2227-9091/8/3/72

Internet

https://www.mdpi.com/2227-9091/8/3/72

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