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math.PR2012★ 22 cited
Discrete-time approximation of multidimensional BSDEs with oblique reflections
Jean-Francois Chassagneux, Romuald Elie, Idris Kharroubi
In this paper, we study the discrete-time approximation of multidimensional reflected BSDEs of the type of those presented by Hu and Tang [Probab. Theory Related Fields 147 (2010)…
math.PR2012
BSDEs with weak terminal condition
Bruno Bouchard, Romuald Elie, Anthony Réveillac
We introduce a new class of Backward Stochastic Differential Equations in which the -terminal value of the solution is not fixed as a random variable, but only s…