Doubly reflected BSDEs with call protection and their approximation

DOI10.1051/ps/2013047zbMath1304.93078OpenAlexW2149655275MaRDI QIDQ5174372

Stéphane Crépey, Jean-François Chassagneux

Publication date: 17 February 2015

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.esaim-ps.org/10.1051/ps/2013047/pdf

zbMATH Keywords

variational inequalitiesdiscrete-time approximationgame optioncall protectionreflected backward stochastic differential equations (BSDEs)

Mathematics Subject Classification ID

Variational inequalities (49J40) Stochastic programming (90C15) Linearizations (93B18) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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