Numerical approximation of RBSDEs via regularization

Ankush Agarwal (), Emmanuel Gobet () and Yihan Zou ()
Additional contact information
Ankush Agarwal: Western University, London, Canada
Emmanuel Gobet: LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité
Yihan Zou: University of Glasgow

Working Papers from HAL

Abstract: We design a numerical scheme based on a regularization approach to approximate the solution of reflected backward stochastic differential equations (RBSDEs). This scheme provides an approximation of the solution from above, as a difference from other existing numerical schemes. We study the order of convergence between the continuous regularized solution and the reflected solution, in full generality, as a function of the regularization parameter: the convergence order is 1/2 in Lp (p ≥ 2) for every solution component, improving to 1 in the almost-sure sense for the value process. Additionally, we derive the convergence rate of the discretized version of the regularized RBSDE to the true version under mild regularity conditions and we obtain the convergence order 3/8 in L2 sense. To illustrate these results, we perform several numerical experiments for one-dimensional American put options.

Keywords: Reflected backward stochastic differential equations; regularization; time discretization; error bound (search for similar items in EconPapers)
Date: 2026-06-25
Note: View the original document on HAL open archive server: https://hal.science/hal-05671000v2
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-05671000v2/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-05671000

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().