Probabilistic representation and approximation for coupled systems of variational inequalities - Research Collection

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Author

Elie, Romuald

Kharroubi, Idris

Date

2010-09

Type

Journal Article

Citations

Cited 9 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1016/j.spl.2010.05.003

Journal / series

Statistics & probability letters

Volume

80(17-18)

Pages / Article No.

1388 - 1396

Publisher

Elsevier

Subject

BSDE with jumps; Variational inequalities; Viscosity solutions; Monte Carlo simulations; Switching problems

Organisational unit

03844 - Soner, Mete / Soner, Mete

Notes

Received 3 September 2009, Revised 4 May 2010, Accepted 5 May 2010, Published online 13 May 2010.

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Citations

Cited 9 times in Web of Science

ETH Bibliography

yes

Altmetrics