Numerical Approximation of Switching Problems

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：snowy99

【摘要】

：

　　We use the representation of Switching Problems as obliquely reflected BSDEs to obtain a numerical approximation of the solution.We thus focus on the discre

【作者】

：

Chassagneux Jean-francois

【机构】

：

Imperial College London

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　We use the representation of Switching Problems as obliquely reflected BSDEs to obtain a numerical approximation of the solution.We thus focus on the discretization of the obliquely reflected BSDEs.

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Numerical Approximation of Switching Problems

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