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dc.contributor.authorZhang, Jianfeng
dc.contributor.authorPham, Huyen
dc.contributor.authorMa, Jin
dc.contributor.authorKharroubi, Idris
dc.date.accessioned2010-09-10T09:08:37Z
dc.date.available2010-09-10T09:08:37Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4725
dc.language.isoenen
dc.subjectBackward stochastic differential equationen
dc.subjectjump-diffusion processen
dc.subjectjump constraintsen
dc.subjectpenalizationen
dc.subjectquasi-variational inequalitiesen
dc.subjectimpulse control problemsen
dc.subjectviscosity solutionsen
dc.subject.ddc519en
dc.titleBackward SDEs with constrained jumps and quasi-variational inequalitiesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider a class of backward stochastic differential equations (BSDEs) driven by Brownian motion and Poisson random measure, and subject to constraints on the jump component. We prove the existence and uniqueness of the minimal solution for the BSDEs by using a penalization approach. Moreover, we show that under mild conditions the minimal solutions to these constrained BSDEs can be characterized as the unique viscosity solution of quasi-variational inequalities (QVIs), which leads to a probabilistic representation for solutions to QVIs. Such a representation in particular gives a new stochastic formula for value functions of a class of impulse control problems. As a direct consequence, this suggests a numerical scheme for the solution of such QVIs via the simulation of the penalized BSDEs.en
dc.relation.isversionofjnlnameAnnals of Probability
dc.relation.isversionofjnlvol38en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2010
dc.relation.isversionofjnlpages794-840en
dc.relation.isversionofdoihttp://dx.doi.org/10.1214/09-AOP496en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherInstitute of Mathematical Statisticsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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