Probabilistic Representation and Approximation for Coupled Systems of Variational Inequalities
نویسندگان
چکیده
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.
منابع مشابه
Strong convergence for variational inequalities and equilibrium problems and representations
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