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arXiv · 1602.00015

Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems

Jean-François Chassagneux·Adrien Richou
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Abstract

In this paper, we prove new convergence results improving the ones by Chassagneux, Elie and Kharroubi [Ann. Appl. Probab. 22 (2012) 971--1007] for the discrete-time approximation of multidimensional obliquely reflected BSDEs. These BSDEs, arising in the study of switching problems, were considered by Hu and Tang [Probab. Theory Related Fields 147 (2010) 89--121] and generalized by Hamad\`ene and Zhang [Stochastic Process. Appl. 120 (2010) 403--426] and Chassagneux, Elie and Kharroubi [Electron. Commun. Probab. 16 (2011) 120--128]. Our main result is a rate of convergence obtained in the Lipschitz setting and under the same structural conditions on the generator as the one required for the existence and uniqueness of a solution to the obliquely reflected BSDE.

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Jean-François Chassagneux, Adrien Richou. 2016-01-29. Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems. https://arxiv.org/abs/1602.00015

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