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

Published in:	Risks
Main Authors:	Jingnan Wang, Ralf Korn
Format:	Article
Language:	English
Published:	MDPI AG 2020-07-01
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