Numerical Algorithms and Simulations for Reflected Backward Stochastic Differential Equations with two Continuous Barriers

TL;DR

This paper develops and compares numerical algorithms for solving reflected backward stochastic differential equations with two continuous barriers, using penalization and reflection methods, supported by simulation results.

Contribution

It introduces new numerical algorithms for two-barrier reflected BSDEs based on penalization and reflection techniques, with comprehensive simulation analysis.

Findings

Algorithms effectively solve two-barrier reflected BSDEs

Simulation results validate the accuracy of proposed methods

Penalization and reflection methods outperform existing approaches

Abstract

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. We introduce different numerical algorithms by penalization method and reflected method. At last simulation results are also presented.