Free Access
Volume 18, 2014
Page(s) 613 - 641
Published online 15 October 2014
  1. V. Bally and G. Pagès, Error analysis of the quantization algorithm for obstacle problems. Stoch. Process. Appl. 106 (2003) 1–40. [CrossRef] [Google Scholar]
  2. G. Barles and P.E. Souganidis, Convergence of approximation schemes for fully nonlinear second order equations. Asymptot. Anal. 4 (1991) 271–283. [Google Scholar]
  3. B. Bouchard and J.-F. Chassagneux, Discrete time approximation for continuously and discretely reflected BSDEs. Stoch. Process. Appl. 118 (2008) 2269–2293. [CrossRef] [Google Scholar]
  4. B. Bouchard and S. Menozzi, Strong Approximations of BSDEs in a domain. Bernoulli 15 (2009) 1117–1147. [CrossRef] [MathSciNet] [Google Scholar]
  5. J.-F. Chassagneux, Processus réfléchis en finance et probabilité numérique. Ph.D. thesis Université Paris Diderot – Paris (2008) 7. [Google Scholar]
  6. J.-F. Chassagneux, Discrete time approximation of doubly reflected BSDEs. Adv. Appl. Probab. 41 (2009) 101–130. [CrossRef] [Google Scholar]
  7. M. Crandall, H. Ishii and P.-L. Lions, User’s guide to viscosity solutions of second order partial differential equations. Bull. Amer. Math. Soc. (1992). [Google Scholar]
  8. S. Crépey, Financial Modeling: A Backward Stochastic Differential Equations Perspective. Springer Finance Textbooks. Springer (2013). [Google Scholar]
  9. S. Crépey and A. Matoussi, Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison principle. Ann. Appl. Probab. 18 (2008) 2041–2069. [CrossRef] [Google Scholar]
  10. S. Crépey and A. Rahal, Pricing Convertible Bonds with Call Protection. J. Comput. Finance 15 (2011/12) 37–75. [Google Scholar]
  11. J. Cvitanić and I. Karatzas, Backward stochastic differential equations with reflection and Dynkin games. Ann. Probab. 24 (1996) 2024–2056. [CrossRef] [MathSciNet] [Google Scholar]
  12. E.B. Dynkin, Game variant of a problem on optimal stopping. Soviet Math. Dokl. 10 (1969) 270–274. [Google Scholar]
  13. N. El Karoui, E. Kapoudjian, C. Pardoux and S. Peng, and M.-C. Quenez, Reflected solutions of backward SDE’s, and related obstacle problems for PDE’s. Ann. Probab. 25 (1997) 702–737. [CrossRef] [MathSciNet] [Google Scholar]
  14. N. El Karoui, S. Peng and M.-C. Quenez, Backward stochastic differential equations in finance. Math. Finance 7 (1997) 1–71. [CrossRef] [MathSciNet] [Google Scholar]
  15. E. Gobet and A. Makhlouf L2-time regularity of BSDEs with irregular terminal functions. Stoch. Process. Appl. 120 (2010) 1105–1132. [CrossRef] [Google Scholar]
  16. S. Hamadène, Reflected BSDEs with Discontinuous Barrier and Application. Stoch. Stoch. Reports 74 (2002) 571–596. [Google Scholar]
  17. S. Hamadène and M. Hassani, BSDEs with two reflecting barriers driven by a Brownian motion and an independent Poisson noise and related Dynkin game. Electr. J. Probab. 11 (2006) 121–145. [Google Scholar]
  18. S. Hamadène and M. Hassani, BSDEs with two reflecting barriers: the general result. Probab. Theory Relat. Fields 132 (2005) 237–264. [CrossRef] [Google Scholar]
  19. S. Hamadène, M. Hassani and Y. Ouknine, BSDEs with general discontinuous reflecting barriers without Mokobodski’s condition. Bull. Sci. Math. 134 (2010) 874–899. [CrossRef] [MathSciNet] [Google Scholar]
  20. Y. Kifer, Game options. Fin. Stoch. 4 (2000) 443–463. [CrossRef] [Google Scholar]
  21. P.E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations. Springer (2000). [Google Scholar]
  22. J.-P. Lepeltier and M. Xu, Reflected backward stochastic differential equations with two RCLL barriers. ESAIM: PS 4 (2007) 3–22. [CrossRef] [EDP Sciences] [Google Scholar]
  23. D. Nualart, The Malliavin Calculus and Related Topics, 2nd Edition. Springer (2006). [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.