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Discrete-time approximation of doubly reflected BSDEs

Abstract : We study the discrete time approximation of doubly reflected BSDEs in a multidimensional setting. As in Ma and Zhang (2005) or Bouchard and Chassagneux (2006), we introduce the discretely reflected counterpart of these equations. We then provide representation formulae which allow us to obtain new regularity results. We also propose an Euler scheme's type approximation and give new convergence results for both discretely and continuously reflected BSDEs.
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https://hal.archives-ouvertes.fr/hal-00152231
Contributor : Jean-François Chassagneux <>
Submitted on : Wednesday, June 6, 2007 - 11:32:54 AM
Last modification on : Wednesday, December 9, 2020 - 3:17:09 PM
Long-term archiving on: : Thursday, April 8, 2010 - 7:04:23 PM

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  • HAL Id : hal-00152231, version 1

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Jean-François Chassagneux. Discrete-time approximation of doubly reflected BSDEs. 2007. ⟨hal-00152231⟩

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