Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
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Abstract: We study a discrete time approximation scheme for the solution of a doubly reflected Backward Stochastic Differential Equation (DBBSDE in short) with jumps, driven by a Brownian motion and an independent compensated Poisson process. Moreover, we suppose that the obstacles are right continuous and left limited (RCLL) processes with predictable and totally inaccessible jumps and satisfy Mokobodski's condition. Our main contribution consists in the construction of an implementable numerical sheme, based on two random binomial trees and the penalization method, which is shown to converge to the solution of the DBBSDE. Finally, we illustrate the theoretical results with some numerical examples in the case of general jumps.
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Cited in
(10)- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
- RBSDE's with jumps and the related obstacle problems for integral-partial differential equa\-tions
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- Discretisation of FBSDEs driven by càdlàg martingales
- Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
- On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
- Doubly reflected BSDEs with call protection and their approximation
- Numerical methods for backward stochastic differential equations: a survey
- Mean reflected stochastic differential equations with jumps
- Infinite horizon impulse control problem with jumps and continuous switching costs
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