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Article Dans Une Revue Stochastic Processes and their Applications Année : 2019

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

Résumé

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 Hamadène 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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Dates et versions

hal-01264959 , version 1 (29-01-2016)

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Jean-François Chassagneux, Adrien Richou. Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems. Stochastic Processes and their Applications, 2019, 129 (11), ⟨10.1016/j.spa.2018.12.009⟩. ⟨hal-01264959⟩
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