Probabilistic representation and approximation for coupled systems of variational inequalities (Q988112)
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scientific article; zbMATH DE number 5774939
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| English | Probabilistic representation and approximation for coupled systems of variational inequalities |
scientific article; zbMATH DE number 5774939 |
Statements
Probabilistic representation and approximation for coupled systems of variational inequalities (English)
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26 August 2010
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BSDE with jumps
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variational inequalities
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viscosity solutions
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Monte Carlo simulations
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switching problems
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0.90694606
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0.90174043
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0.89333075
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0.88663113
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0.88370097
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0.88294536
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0.87840295
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