DocumentCode
3260510
Title
Stability of solutions of discrete Reflected BSDEs
Author
Lin, Xiangyun ; Zhang, Rui ; Wang, Xiangrong
Author_Institution
Coll. of Sci., Shandong Univ. of Sci. & Technol., Qingdao
fYear
2008
fDate
26-28 Aug. 2008
Firstpage
428
Lastpage
431
Abstract
Based on a given probability space equipped with an increasing filtration, we estimate the mean square errors of numerical solutions of BSDE and reflected BSDE with the general Lipschitz condition, and proof the stability of them.
Keywords
differential equations; mean square error methods; numerical stability; stochastic processes; Lipschitz condition; discrete reflected BSDE; mean square errors; numerical solutions stability; stochastic differential equations; Convergence of numerical methods; Educational institutions; Filtration; Information science; Mean square error methods; Motion estimation; Numerical simulation; Numerical stability; Space technology; Topology;
fLanguage
English
Publisher
ieee
Conference_Titel
Granular Computing, 2008. GrC 2008. IEEE International Conference on
Conference_Location
Hangzhou
Print_ISBN
978-1-4244-2512-9
Electronic_ISBN
978-1-4244-2513-6
Type
conf
DOI
10.1109/GRC.2008.4664630
Filename
4664630
Link To Document