Doubly reflected BSDEs with call protection and their approximation

DOI10.1051/PS/2013047MaRDI QIDQ5174372zbMATH OpenOpenAlexFDO

Authors Jean-Francois Chassagneux, Stéphane Crépey

Publication date 17 February 2015

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL http://www.esaim-ps.org/10.1051/ps/2013047/pdf

zbMATH Keywords

variational inequalitiesdiscrete-time approximationgame optioncall protectionreflected backward stochastic differential equations (BSDEs)

Mathematics Subject Classification ID

Stochastic programming (90C15) Variational inequalities (49J40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linearizations (93B18) Optimal stochastic control (93E20)

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Cited in

(1)

• Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles

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