Wang, Jingnan; Korn, Ralf - In: Risks : open access journal 8 (2020) 3/72, pp. 1-30
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...