Probabilistic representation and approximation for coupled systems of variational inequalities
- Journal Article
Journal / seriesStatistics & Probability Letters
Pages / Article No.
SubjectBSDE with jumps; Variational inequalities; Viscosity solutions; Monte Carlo simulations; Switching problems
Organisational unit03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
NotesReceived 3 September 2009, Revised 4 May 2010, Accepted 5 May 2010, Published online 13 May 2010.
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