Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier

J.-P. Lepeltier and M. Xu

Statistics & Probability Letters, 2005, vol. 75, issue 1, 58-66

Abstract: In this paper, we consider BSDEs with a Lipschitz coefficient reflected on one discontinuous (r.c.l.l.) barrier. We prove the convergence of the solutions of the penalized equations to the solution of the RBSDE.

Keywords: Reflected; backward; stochastic; differential; equation; Penalization; method; Optimal; stopping; Snell; envelope (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (19)

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