Afficher la notice abrégée

dc.contributor.authorDumitrescu, Roxana*
dc.contributor.authorLabart, Céline*
dc.date.accessioned2015-02-26T10:25:30Z
dc.date.available2015-02-26T10:25:30Z
dc.date.issued2016
dc.identifier.issn0377-0427
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14710
dc.language.isoenen
dc.subjectnumerical scheme
dc.subjectBackward stochastic differential equations with jumps
dc.subjectDouble barrier reflected BSDEs
dc.subject.ddc519en
dc.titleReflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLAMA, Université de Savoie;France
dc.description.abstractenWe introduce a discrete time reflected scheme to solve doubly reflected Backward Stochastic Differ-ential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an independentcompensated Poisson process. As in [5], we approximate the Brownian motion and the Poisson processby two random walks, but contrary to this paper, we discretize directly the DRBSDE, without using apenalization step. This gives us a fully implementable scheme, which only depends on one parameter ofapproximation: the number of time stepsn(contrary to the scheme proposed in [5], which also dependson the penalization parameter). We prove the convergence of the scheme, and give some numericalexamples.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameJournal of Computational and Applied Mathematics
dc.relation.isversionofjnlvol296
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages827-839
dc.relation.isversionofdoi10.1016/j.cam.2015.11.006
dc.identifier.urlsitehttps://arxiv.org/abs/1502.02888v2
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2016-10-07T14:38:01Z
hal.person.labIds*
hal.person.labIds*


Fichiers attachés à cette notice

FichiersTailleFormatConsulter

Il n'y a pas de fichiers associés à cette notice.

Ce document fait partie de la (des) collection(s) suivante(s)

Afficher la notice abrégée