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.
Origin : Files produced by the author(s)
Loading...