Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps

S. K. Godunov, A difference scheme for the numerical computation of a discontinuous solution of the hydrodynamic equations, Math. Sb., 47 (1959), pp. 271–306

1959

Earlier work this paper cites.

F. N. Fritsch and R. E. Carlson, Monotone piecewise cubic interpolation , SIAM J. Numer. Anal., 17 (1980), pp. 238–246

1980

Earlier work this paper cites.

M.G. Crandall and P.L. Lions, Two approximations of solutions of Hamilton-Jacobi equations , Math. Comput., 43 (1984), pp. 1–19

1984

Earlier work this paper cites.

M. G. Crandall, H. Ishii, and P.-L. Lions, User’s guide to viscosity solutions of second order partial differential equations , Bull. Amer. Math. Soc. (N.S.), 27 (1992), pp. 1–67

1992

Earlier work this paper cites.

L. Qi and J. Sun, A nonsmooth version of Newton’s method , Math. Program., 58 (1993), pp. 353–367

1993

Earlier work this paper cites.

N. El Karoui, S. Peng, and M.-C. Quenez, Backward stochastic differential equations in finance , Prepublication No. 260 du Lab. de Probabilité, 1994

1994

Earlier work this paper cites.

G. Barles, Convergence of numerical schemes for degenerate parabolic equations arising in finance , in Numerical Methods in Finance, L. C. G. Rogers and D. Talay, eds., Cambridge University Press, Cambridge, UK, 1997, pp. 1–21

1997

Earlier work this paper cites.

N. El Karoui, E. Pardoux, and M.-C. Quenez, Reflected backward SDEs and American options , in Numerical Methods in Finance, L. Robers and D. Talay, eds., Cambridge University Press, Cambridge, UK, 1997, pp. 215–231

1997

Earlier work this paper cites.

Z. Chen and L. Epstein, Ambiguity, risk, and asset returns in continuous time , Econometrica, 70 (2002), pp. 1403–1443

2002

Earlier work this paper cites.

K. Ito and K. Kunisch, Semi-smooth Newton methods for variational inequalities of the first kind , M2AN Math. Model. Numer. Anal., 37 (2003), pp. 41–62

2003

Earlier work this paper cites.

Y. d’Halluin, P. A. Forsyth, and G. Labahn, A penalty method for American options with jump diffusion processes , Numer. Math., 97 (2004), pp. 321–352

2004

Cited alongside, same era.

R. Cont and E. Voltchkova, A finite difference scheme for option pricing in jump diffusion and exponential Lévy models , SIAM J. Numer. Anal., 43 (2005), pp. 1596–1626

2005

Cited alongside, same era.

M. Royer, Backward stochastic differential equations with jumps and related non-linear expectations , Stoch. Process. Their Appl., 116 (2006), pp. 1358–1376

2006

Cited alongside, same era.

G. Barles and E. R. Jakobsen, Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations , Math. Comp., 76 (2007), pp. 1861–1893

2007

Cited alongside, same era.

R. Buckdahn, J. Li, Stochastic Differential Games and Viscosity Solutions of Hamilton-Jacobi-Bellman-Isaacs Equations , SIAM J. Contr. Opt. 47 (2008), 444-475

M.-C. Quenez and A. Sulèm, BSDEs with jumps, optimization and applications to dynamic risk measures , Stoch. Process. Their Appl., 123 (2013), pp. 3328–3357

2013

Later among the works it cites.

G. Di Nunno, A. Khedher, M. Vanmaele, Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps , Appl. Math. Optim., 72 (2015), 353-389

2015

Later among the works it cites.

R. Dumitrescu, M.-C. Quenez, and A. Sulèm, Optimal stopping for dynamic risk measures with jumps and obstacle problems , J. Optim. Theory Appl., 167 (2015), pp. 219–242

2015

Later among the works it cites.

I. Kharroubi, N. Langrene, H. Pham, Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps , Ann. Appl. Probab. 25 (2015), pp. 2301–2338

2015

Later among the works it cites.