Discrete-time approximation of multidimensional BSDEs with oblique reflections

DOI10.1214/11-AAP771zbMath1243.93128arXiv1210.1407MaRDI QIDQ433900

Romuald Elie, Idris Kharroubi, Jean-François Chassagneux

Publication date: 8 July 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.1407

zbMATH Keywords

discrete time approximation; bacjkward stochastic differential equations (BSDEs) with oblique reflections; switching problems

Mathematics Subject Classification ID

93C55: Discrete-time control/observation systems

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

65C99: Probabilistic methods, stochastic differential equations

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