Probabilistic representation and approximation for coupled systems of variational inequalities

DOI10.1016/J.SPL.2010.05.003zbMath1194.93218arXiv0909.0998OpenAlexW2138398829MaRDI QIDQ988112

Idris Kharroubi, Romuald Elie

Publication date: 26 August 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.0998

zbMATH Keywords

variational inequalitiesMonte Carlo simulationsviscosity solutionsswitching problemsBSDE with jumps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (13)

Stochastic impulse control problem with state and time dependent cost functions ⋮ Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem ⋮ On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles ⋮ Asset liquidation under drift uncertainty and regime-switching volatility ⋮ Principal-agent problem with multiple principals ⋮ Discrete-time approximation of multidimensional BSDEs with oblique reflections ⋮ Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes ⋮ BSDE representations for optimal switching problems with controlled volatility ⋮ Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems ⋮ A full balance sheet two-mode optimal switching problem ⋮ Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs

Cites Work

• Unnamed Item
• Unnamed Item
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
• Switching problem and related system of reflected backward SDEs
• Backward SDEs with constrained jumps and quasi-variational inequalities
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Probabilistic interpretation of a system of semilinear parabolic partial differential equations
• Multi-dimensional BSDE with oblique reflection and optimal switching
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps
• Backward stochastic differential equations and integral-partial differential equations
• A stochastic target formulation for optimal switching problems in finite horizon
• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe

This page was built for publication: Probabilistic representation and approximation for coupled systems of variational inequalities