Numerical algorithms for reflected anticipated backward stochastic differential equations with two obstacles and default risk
Year of publication: |
2020
|
---|---|
Authors: | Wang, Jingnan ; Korn, Ralf |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 8.2020, 3, p. 1-30
|
Publisher: |
Basel : MDPI |
Subject: | numerical algorithm | reflected anticipated backward stochastic differential equations | discrete penalization scheme | discrete reflected scheme |
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