Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
Dumitrescu, Roxana; Labart, Céline (2016), Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles, Journal of Mathematical Analysis and Applications, 442, 1, p. 206-243. 10.1016/j.jmaa.2016.03.044
TypeArticle accepté pour publication ou publié
External document linkhttps://arxiv.org/abs/1406.3612v1
Journal nameJournal of Mathematical Analysis and Applications
MetadataShow full item record
Abstract (EN)We study a discrete time approximation scheme for the solution of a doubly reflected Backward Stochastic Differential Equation (DBBSDE in short) with jumps, driven by a Brownian motion and an independent compensated Poisson process. Moreover, we suppose that the obstacles are right continuous and left limited (RCLL) processes with predictable and totally inaccessible jumps and satisfy Mokobodski's condition. Our main contribution consists in the construction of an implementable numerical sheme, based on two random binomial trees and the penalization method, which is shown to converge to the solution of the DBBSDE. Finally, we illustrate the theoretical results with some numerical examples in the case of general jumps.
Subjects / Keywordspenalization method; Backward stochastic differential equations with jumps; Double barrier reflected BSDEs
Showing items related by title and author.