35 citations · 132 across the 27 of their papers we have counts for
4 papers · 1 filter
A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates
Christoph Reisinger, Yufei Zhang
We present a novel penalty approach for a class of quasi-variational inequalities (QVIs) involving monotone systems and interconnected obstacles. We show that for any given positiv…
A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone drivers
Christoph Reisinger, Yufei Zhang
We propose a class of numerical schemes for nonlocal HJB variational inequalities (HJBVIs) with monotone drivers. The solution and free boundary of the HJBVI are constructed from a…
Fully Discrete Schemes and Their Analyses for Forward-Backward Stochastic Differential Equations
Kazufumi Ito, Yufei Zhang, Jun Zou
We propose some numerical schemes for forward-backward stochastic differential equations (FBSDEs) based on a new fundamental concept of transposition solutions. These schemes explo…
Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
Roxana Dumitrescu, Christoph Reisinger, Yufei Zhang
We propose a class of numerical schemes for mixed optimal stopping and control of processes with infinite activity jumps and where the objective is evaluated by a nonlinear expecta…