Probabilistic representation and approximation for coupled systems of variational inequalities |
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| Authors: | Romuald Elie Idris Kharroubi |
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| Affiliation: | 1. CEREMADE, CNRS, UMR 7534, Université Paris-Dauphine, and CREST-ENSAE, France;2. LPMA, CNRS, UMR 7599, Université Paris 7, CREST, France;3. ETH Zürich, Switzerland |
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| 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. |
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