Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles (Q281870): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+H35
@@ Property / Mathematics Subject Classification ID: 60H35 / rank @@
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+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
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+C30
@@ Property / Mathematics Subject Classification ID: 65C30 / rank @@
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@@ Property / zbMATH DE Number @@
+6579274
@@ Property / zbMATH DE Number: 6579274 / rank @@
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@@ Property / zbMATH Keywords @@
+doubly reflected backward stochastic differential equations
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@@ Property / zbMATH Keywords @@
+Skorokhod topology
@@ Property / zbMATH Keywords: Skorokhod topology / rank @@
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@@ Property / zbMATH Keywords @@
+numerical scheme
@@ Property / zbMATH Keywords: numerical scheme / rank @@
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+penalization method
@@ Property / zbMATH Keywords: penalization method / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W1790880886
@@ Property / OpenAlex ID: W1790880886 / rank @@
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@@ Property / arXiv ID @@
+.3612
@@ Property / arXiv ID: 1406.3612 / rank @@
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@@ Property / cites work @@
+Discrete-time approximation of decoupled Forward-Backward SDE with jumps
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@@ Property / cites work @@
+Donsker-type theorem for BSDEs
@@ Property / cites work: Donsker-type theorem for BSDEs / rank @@
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@@ Property / cites work @@
+A discrete-time approximation for doubly reflected BSDEs
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@@ Property / cites work @@
+Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
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@@ Property / cites work @@
+Backward stochastic differential equations with reflection and Dynkin games
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@@ Property / cites work @@
+Generalized Dynkin games and doubly reflected BSDEs with jumps
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@@ Property / cites work @@
+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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@@ Property / cites work @@
+Reflected backward stochastic differential equation with jumps and RCLL obstacle
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@@ Property / cites work @@
+Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps
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@@ Property / cites work @@
+BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
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@@ Property / cites work @@
+Reflected backward stochastic differential equation with jumps and random obstacle
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@@ Property / cites work @@
+Reflected Backward SDEs with General Jumps
@@ Property / cites work: Reflected Backward SDEs with General Jumps / rank @@
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@@ Property / cites work @@
+BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
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@@ Property / cites work @@
+Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
+Normal rank
@@ Property / cites work @@
+Dynkin's games and Israeli options
@@ Property / cites work: Dynkin's games and Israeli options / rank @@
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@@ Property / cites work @@
+Reflected backward stochastic differential equations with two RCLL barriers
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@@ Property / cites work @@
+Convergence of solutions of discrete reflected backward SDE's and simulations
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@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
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@@ Property / cites work @@
+The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
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@@ Property / cites work @@
+Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations
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@@ Property / cites work @@
+BSDEs with jumps, optimization and applications to dynamic risk measures
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@@ Property / cites work @@
+Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
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@@ Property / cites work @@
+Backward stochastic differential equations with jumps and related nonlinear expectations
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@@ Property / cites work @@
+Stability of strong solutions of stochastic differential equations
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@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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@@ Property / cites work @@
+Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
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@@ links / mardi / name / links / mardi / name @@
+Publication:281870