| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1152946 | Statistics & Probability Letters | 2010 | 9 Pages |
Abstract
Our study is dedicated to the probabilistic representation and numerical approximation of solutions of coupled systems of variational inequalities. We interpret the unique viscosity solution of a coupled system of variational inequalities as the solution of a one-dimensional constrained BSDE with jumps. This new representation allows for the introduction of a natural probabilistic numerical scheme for the resolution of these systems.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Romuald Elie, Idris Kharroubi,