Probabilistic representation and approximation for coupled systems of variational inequalities
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- Hamadène, Said & Zhang, Jianfeng, 2010. "Switching problem and related system of reflected backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 403-426, April.
- Bouchard, Bruno & Elie, Romuald, 2008. "Discrete-time approximation of decoupled Forward-Backward SDE with jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(1), pages 53-75, January.
- Royer, Manuela, 2006. "Backward stochastic differential equations with jumps and related non-linear expectations," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1358-1376, October.
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- Guangbao Guo, 2018. "Finite Difference Methods for the BSDEs in Finance," IJFS, MDPI, vol. 6(1), pages 1-15, March.
- Chassagneux, Jean-François & Richou, Adrien, 2019. "Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4597-4637.
- Bandini, Elena & Fuhrman, Marco, 2017. "Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1441-1474.
- Fuhrman, Marco & Morlais, Marie-Amélie, 2020. "Optimal switching problems with an infinite set of modes: An approach by randomization and constrained backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 3120-3153.
- Kaitong Hu & Zhenjie Ren & Junjian Yang, 2019. "Principal-agent problem with multiple principals," Working Papers hal-02088486, HAL.
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Keywords
BSDE with jumps Variational inequalities Viscosity solutions Monte Carlo simulations Switching problems;Statistics
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