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Probabilistic representation and approximation for coupled systems of variational inequalities

Our study is dedicated to the probabilistic representation and numerical approximation of solutions of coupled systems of variational inequalities. We interpret the unique viscosity solution of a coupled system of variational inequalities as the solution of a one-dimensional constrained BSDE with jumps. This new representation allows for the introduction of a natural probabilistic numerical scheme for the resolution of these systems.
Year of publication:
2010
Authors: Elie, Romuald ; Kharroubi, Idris
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 17-18, p. 1388-1396
Publisher: Elsevier
Keywords: BSDE with jumps Variational inequalities Viscosity solutions Monte Carlo simulations Switching problems
Type of publication: Article
Source:
Persistent link: https://ebvufind01.dmz1.zbw.eu/10008868847
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