 |
Free and accessible knowledge |
Journal articles
Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
Abstract : We introduce a discrete time reflected scheme to solve doubly reflected Backward Stochastic Differential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an independent compensated Poisson process. As in Dumitrescu-Labart (2014), we approximate the Brownian motion and the Poisson process by two random walks, but contrary to this paper, we discretize directly the DRBSDE, without using a penalization step. This gives us a fully implementable scheme, which only depends on one parameter of approximation: the number of time steps $n$ (contrary to the scheme proposed in Dumitrescu-Labart (2014), which also depends on the penalization parameter). We prove the convergence of the scheme, and give some numerical examples.
Cited literature [22 references]
https://hal.archives-ouvertes.fr/hal-01114996
Contributor : Céline Labart Connect in order to contact the contributor
Submitted on : Monday, November 9, 2015 - 3:44:38 PM
Last modification on : Friday, January 21, 2022 - 3:20:09 AM
Long-term archiving on: : Wednesday, February 10, 2016 - 10:30:30 AM
Contributor : Céline Labart Connect in order to contact the contributor
Submitted on : Monday, November 9, 2015 - 3:44:38 PM
Last modification on : Friday, January 21, 2022 - 3:20:09 AM
Long-term archiving on: : Wednesday, February 10, 2016 - 10:30:30 AM
Files
dumitrescu_labart2_revised.pdf
Files produced by the author(s)
Licence
Distributed under a Creative Commons Attribution - NonCommercial - ShareAlike 4.0 International License