Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
type: Item
instance of: scholarly article
title: Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
zbMATH Open document ID: 1342.60113
author: Roxana Dumitrescu
author: Céline Labart
published in: Journal of Mathematical Analysis and Applications
publication date: 2016-05-11T00:00:00Z
full work available at URL: https://arxiv.org/abs/1406.3612
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 6579274
zbMATH Keywords: doubly reflected backward stochastic differential equations
zbMATH Keywords: Skorokhod topology
zbMATH Keywords: numerical scheme
zbMATH Keywords: penalization method
MaRDI profile type: Publication
OpenAlex ID: W1790880886
arXiv ID: 1406.3612
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DOI: 10.1016/J.JMAA.2016.03.044
description: scientific article; zbMATH DE number 6579274