Discrete-time approximation of decoupled Forward???Backward SDE with jumps, Stochastic Processes and their Applications, pp.53-75, 2008. ,
DOI : 10.1016/j.spa.2007.03.010
URL : https://hal.archives-ouvertes.fr/hal-00362300
A discrete-time approximation for doubly reflected BSDEs, Advances in Applied Probability, vol.41, issue.01, pp.101-130, 2009. ,
DOI : 10.1111/1467-9965.00022
Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison, The Annals of Applied Probability, vol.18, issue.5, pp.2041-2069, 2008. ,
DOI : 10.1214/08-AAP517
Backward stochastic differential equations with reflection and Dynkin games. The Annals of Probability, pp.2024-2056, 1996. ,
Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles, Journal of Mathematical Analysis and Applications, vol.442, issue.1, 2014. ,
DOI : 10.1016/j.jmaa.2016.03.044
URL : https://hal.archives-ouvertes.fr/hal-01006131
Double barrier reflected BSDEs with jumps and generalized Dynkin games, 2014. ,
URL : https://hal.archives-ouvertes.fr/hal-00873688
Reflected solutions of Backward SDE's and related obstacle problems for PDE's. The Annals of Probability, pp.702-737, 1997. ,
Reflected backward stochastic differential equation with jumps and RCLL obstacle, Bulletin des Sciences Math??matiques, vol.132, issue.8, pp.690-710, 2008. ,
DOI : 10.1016/j.bulsci.2008.03.005
Backward stochastic differential equation with two reflecting barriers and jumps. Stochastic Analysis and Applications, pp.921-938, 2005. ,
BSDEs with two reflecting barriers driven by a Brownian motion and Poisson noise and related Dynkin game, Electronic Journal of Probability, vol.11, issue.0, pp.121-145, 2006. ,
DOI : 10.1214/EJP.v11-303
Reflected Backward Stochastic Differential Equation with Jumps and Random Obstacle, Electronic Journal of Probability, vol.8, issue.0, pp.1-20, 2003. ,
DOI : 10.1214/EJP.v8-124
Reflected Backward SDEs with general jumps, 2013. ,
BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game, Stochastic Processes and their Applications, pp.2881-2912, 2009. ,
DOI : 10.1016/j.spa.2009.03.004
Limit theorems for stochastic processes, of Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences, 2003. ,
DOI : 10.1007/978-3-662-02514-7
Numerical approximation of Backward Stochastic Differential Equations with Jumps, 2014. ,
URL : https://hal.archives-ouvertes.fr/inria-00357992
Backward SDEs with two barriers ans continuous coefficient: an existence result, Journal of Appl. Prob, issue.41, pp.162-175, 2004. ,
Convergence of solutions of discrete reflected backward SDE???s and simulations, Acta Mathematicae Applicatae Sinica, English Series, vol.30, issue.2, pp.1-18, 2002. ,
DOI : 10.1007/s10255-006-6005-6
Adapted solution of a backward stochastic differential equation, Systems & Control Letters, vol.14, issue.1, pp.55-61, 1990. ,
DOI : 10.1016/0167-6911(90)90082-6
Numerical algorithms for BSDEs with 1-d Brownian motion: convergence and simulation, ESAIM: Mathematical Modelling and Numerical Analysis, issue.45, pp.335-360, 2011. ,
BSDEs with jumps, optimization and applications to dynamic risk measures, Stochastic Processes and their Applications, pp.3328-3357, 2013. ,
DOI : 10.1016/j.spa.2013.02.016
URL : https://hal.archives-ouvertes.fr/hal-00709632
Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps, SIAM Journal on Control and Optimization, vol.32, issue.5, pp.1447-1475, 1994. ,
DOI : 10.1137/S0363012992233858
Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers, Journal of Computational and Applied Mathematics, vol.236, issue.6, pp.1137-1154, 2011. ,
DOI : 10.1016/j.cam.2011.07.035