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

Jean-François Chassagneux and Adrien Richou

Stochastic Processes and their Applications, 2019, vol. 129, issue 11, 4597-4637

Abstract: In this paper, we prove new convergence results improving the ones by Chassagneux et al. (2012) 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 (2010) and generalized by Hamadène and Zhang (2010) and Chassagneux et al. (2011). 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.

Keywords: BSDE with oblique reflections; Discrete time approximation; Switching problems (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:11:p:4597-4637

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DOI: 10.1016/j.spa.2018.12.009

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