Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles (Q898999)

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English	Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles	scientific article

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Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles (English)

Journal of Computational and Applied Mathematics

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publication date

21 December 2015

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full work available at URL

https://arxiv.org/abs/1502.02888

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zbMATH Keywords

doubly reflected backward stochastic differential equations

jumps

RCLL obstacles

numerical scheme

MaRDI publication profile

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cites work

Adapted solution of a backward stochastic differential equation

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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Reflected solutions of backward SDE's, and related obstacle problems for PDE's

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Backward stochastic differential equations with reflection and Dynkin games

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Reflected backward stochastic differential equation with jumps and random obstacle

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Reflected backward stochastic differential equation with jumps and RCLL obstacle

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Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison

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Generalized Dynkin games and doubly reflected BSDEs with jumps

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BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game

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BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game

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Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps

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Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers

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Convergence of solutions of discrete reflected backward SDE's and simulations

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Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations

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A discrete-time approximation for doubly reflected BSDEs

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Discrete-time approximation of decoupled Forward-Backward SDE with jumps

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Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles

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BSDEs with jumps, optimization and applications to dynamic risk measures

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Q4778955

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Backward SDEs with two barriers and continuous coefficient: an existence result

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Mathematics(1 entry)

mardi Publication:898999