Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
| hal.structure.identifier | Université Paris Diderot - Paris 7 [UPD7] | |
| hal.structure.identifier | Laboratoire de Probabilités, Statistique et Modélisation [LPSM (UMR_8001)] | |
| dc.contributor.author | CHASSAGNEUX, Jean-François | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | RICHOU, Adrien | |
| dc.date.accessioned | 2024-04-04T03:15:40Z | |
| dc.date.available | 2024-04-04T03:15:40Z | |
| dc.date.issued | 2019 | |
| dc.identifier.issn | 0304-4149 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/194160 | |
| dc.description.abstractEn | 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. | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.subject.en | BSDE with oblique reflections | |
| dc.subject.en | discrete time approximation | |
| dc.subject.en | switching problems | |
| dc.title.en | Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1016/j.spa.2018.12.009 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| bordeaux.journal | Stochastic Processes and their Applications | |
| bordeaux.volume | 129 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.issue | 11 | |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-01264959 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01264959v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic%20Processes%20and%20their%20Applications&rft.date=2019&rft.volume=129&rft.issue=11&rft.eissn=0304-4149&rft.issn=0304-4149&rft.au=CHASSAGNEUX,%20Jean-Fran%C3%A7ois&RICHOU,%20Adrien&rft.genre=article |
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