Displaying similar documents to “Doubly reflected BSDEs with call protection and their approximation”

Application of relaxation scheme to degenerate variational inequalities

Jela Babušíková (2001)

Applications of Mathematics

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In this paper we are concerned with the solution of degenerate variational inequalities. To solve this problem numerically, we propose a numerical scheme which is based on the relaxation scheme using non-standard time discretization. The approximate solution on each time level is obtained in the iterative way by solving the corresponding elliptic variational inequalities. The convergence of the method is proved.

Stochastic differential games involving impulse controls

Feng Zhang (2011)

ESAIM: Control, Optimisation and Calculus of Variations

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A zero-sum stochastic differential game problem on infinite horizon with continuous and impulse controls is studied. We obtain the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities. We also obtain a verification theorem which provides an optimal strategy of the game.

Stochastic differential games involving impulse controls

Feng Zhang (2011)

ESAIM: Control, Optimisation and Calculus of Variations

Similarity:

A zero-sum stochastic differential game problem on infinite horizon with continuous and impulse controls is studied. We obtain the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities. We also obtain a verification theorem which provides an optimal strategy of the game.