Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier

Statistics and Probability Letters

Volumn 75, Issue 1, 2005, Pages 58-66

  Lepeltier, J P ^a   Xu, M ^a  

^a UNIVERSITÉ DU MAINE   (France)

Author keywords

Optimal stopping; Penalization method; Reflected backward stochastic differential equation; Snell envelope

Indexed keywords

EID: 26644466767     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2005.05.016     Document Type: Article

References (8)

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8. 2 barriers. Preprint.