Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles

DOI10.1016/j.jmaa.2016.03.044zbMath1342.60113arXiv1406.3612OpenAlexW1790880886MaRDI QIDQ281870

Roxana Dumitrescu, Céline Labart

Publication date: 11 May 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.3612

zbMATH Keywords

Skorokhod topologypenalization methodnumerical schemedoubly reflected backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver ⋮ Infinite horizon impulse control problem with jumps and continuous switching costs ⋮ Discretisation of FBSDEs driven by càdlàg martingales ⋮ Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Ong−evaluations with domains under jump filtration ⋮ Mean reflected stochastic differential equations with jumps

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