Probabilistic representation and approximation for coupled systems of variational inequalities

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Author
Elie, Romuald
Kharroubi, Idris
Date
2010-09
Type
  • Journal Article
Publication status
published
External links
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Journal / series
Statistics & probability letters
Volume
80(17-18)
Pages
1388 - 1396
Publisher
Elsevier
Subject
BSDE with jumps; Variational inequalities; Viscosity solutions; Monte Carlo simulations; Switching problems
Organisational unit
03844 - 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 8 times in Web of Science
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