Discrete-time approximation of doubly reflected BSDEs

Jean-François Chassagneux (1, 2)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 CREST - Centre de Recherche en Économie et Statistique

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.

Keywords: Reflected BSDEs; discrete-time approximation schemes; Game Option; regularity

Domains: Probability [math.PR]

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