Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
CHASSAGNEUX, Jean-François
Université Paris Diderot - Paris 7 [UPD7]
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
Université Paris Diderot - Paris 7 [UPD7]
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
CHASSAGNEUX, Jean-François
Université Paris Diderot - Paris 7 [UPD7]
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
< Reduce
Université Paris Diderot - Paris 7 [UPD7]
Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)]
Language
en
Article de revue
This item was published in
Stochastic Processes and their Applications. 2019, vol. 129, n° 11
Elsevier
English 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 ...Read more >
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.Read less <
English Keywords
BSDE with oblique reflections
discrete time approximation
switching problems
Origin
Hal imported