# Discrete-time Approximation of Multidimensional BSDEs with oblique reflections

Abstract : In this paper, we study the discrete-time approximation of multi-dimensional reflected BSDEs of the type of those presented by Hu and Tang and generalized by Hamadène and Zhang. In comparison to the penalizing approach followed by Hamadene and Jeanblanc or Elie and Kharroubi, we study a more natural scheme based on oblique projections. We provide a control on the error of the algorithm by introducing and studying the notion of multidimensional discretely reflected BSDE. In the particular case where the driver does not depend on the variable $Z$, the error on the grid points is of order $\frac{1}{2} - \epsilon$, $\epsilon>0$.
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Article dans une revue
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2012, 22 (3), pp 971 - 1007
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https://hal.archives-ouvertes.fr/hal-00475628
Contributeur : Romuald Elie <>
Soumis le : jeudi 22 avril 2010 - 13:55:43
Dernière modification le : jeudi 9 février 2017 - 15:18:20
Document(s) archivé(s) le : lundi 22 octobre 2012 - 15:20:39

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• HAL Id : hal-00475628, version 1

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Romuald Elie, Idris Kharroubi, Jean-François Chassagneux. Discrete-time Approximation of Multidimensional BSDEs with oblique reflections. Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2012, 22 (3), pp 971 - 1007. <hal-00475628>

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