<Para ID="Par1">This paper deals with the superreplication of non-path-dependent European claims under additional convex constraints on the number of shares held in the portfolio. The corresponding superreplication price of a given claim has been widely studied in the literature, and its terminal value, which...</para>

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...

We study the discrete-time approximation of the solution (Y,Z,K) of a reflected BSDE. As in Ma and Zhang [J. Ma, J. Zhang, Representations and regularities for solutions to BSDEs with reflections, Stochastic Processes and their Applications 115 (2005) 539-569], we consider a Markovian setting...

In this paper, we study probabilistic numerical methods based on optimal quantization algorithms for computing the solution to optimal multiple switching problems with regime-dependent state process. We first consider a discrete-time approximation of the optimal switching problem, and analyse...

This paper provides a simple approach for the consideration of quadratic BSDEs with bounded terminal conditions. Using solely probabilistic arguments, we retrieve the existence and uniqueness result derived via PDE-based methods by Kobylanski (2000) [14]. This approach is related to the study of...