418 citations
- Chinese Academy of SciencesCN41 papers
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math.PR2008
Numerical Algorithms and Simulations for Reflected Backward Stochastic Differential Equations with two Continuous Barriers
Mingyu Xu
In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers basing on random work framework. W…
math.PR2007★ 32 cited
Singularly perturbed Markov chains: Limit results and applications
George Yin, Hanqin Zhang
This work focuses on time-inhomogeneous Markov chains with two time scales. Our motivations stem from applications in reliability and dependability, queueing networks, financial en…