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
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;
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
DOI :
10.1109/GRC.2008.4664630
