Probabilistic representation and approximation for coupled systems of variational inequalities
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Author / Producer
Date
2010-09
Publication Type
Journal Article
ETH Bibliography
yes
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Altmetric
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Rights / License
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Publication status
published
External links
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Book title
Journal / series
Volume
80 (17-18)
Pages / Article No.
1388 - 1396
Publisher
Elsevier
Event
Edition / version
Methods
Software
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Date collected
Date created
Subject
BSDE with jumps; Variational inequalities; Viscosity solutions; Monte Carlo simulations; Switching problems
Organisational unit
03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
Notes
Received 3 September 2009, Revised 4 May 2010, Accepted 5 May 2010, Published online 13 May 2010.