A discrete-time approximation for doubly reflected BSDEs
Jean-François Chassagneux
Source: Adv. in Appl. Probab. Volume 41, Number 1 (2009), 101-130.
Abstract
We study the discrete-time approximation of doubly reflected backward stochastic differential equations (BSDEs) in a multidimensional setting. As in Ma and Zhang (2005) or Bouchard and Chassagneux (2008), 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 type approximation and give new convergence results for both discretely and continuously reflected BSDEs.
Primary Subjects: 65C99, 60H35, 60G40
Keywords: Reflected BSDEs; discrete-time approximation schemes; game option; regularity
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aap/1240319578
Digital Object Identifier: doi:10.1239/aap/1240319578
Zentralblatt MATH identifier:
05551336
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