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Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles

hal.structure.identifier
dc.contributor.authorDumitrescu, Roxana*
hal.structure.identifier
dc.contributor.authorLabart, Céline*
dc.date.accessioned2014-07-08T09:43:46Z
dc.date.available2014-07-08T09:43:46Z
dc.date.issued2016
dc.identifier.issn0022-247X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13664
dc.language.isoenen
dc.subjectpenalization method
dc.subjectBackward stochastic differential equations with jumps
dc.subjectDouble barrier reflected BSDEs
dc.subject.ddc519en
dc.titleNumerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLaboratoire de Mathématiques (LAMA) http://www.lama.univ-savoie.fr/ CNRS : UMR5127 – Université de Savoie;France
dc.contributor.editoruniversityotherCentre de Recherche en Économie et Statistique (CREST) http://www.crest.fr/ INSEE – École Nationale de la Statistique et de l'Administration Économique;France
dc.contributor.editoruniversityotherMATHRISK (INRIA Paris-Rocquencourt) http://www.inria.fr/equipes/mathrisk INRIA – École des Ponts ParisTech (ENPC) – Université Paris-Est Marne-la-Vallée (UPEMLV);France
dc.description.abstractenWe 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.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameJournal of Mathematical Analysis and Applications
dc.relation.isversionofjnlvol442
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages206-243
dc.relation.isversionofdoi10.1016/j.jmaa.2016.03.044
dc.identifier.urlsitehttps://arxiv.org/abs/1406.3612v1
dc.relation.isversionofjnlpublisherAcademic Press
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.updated2016-10-07T14:41:37Z
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