A discrete-time approximation for doubly reflected BSDEs
2009 ◽
Vol 41
(01)
◽
pp. 101-130
◽
Keyword(s):
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.
2009 ◽
Vol 41
(1)
◽
pp. 101-130
◽
2000 ◽
Vol 54
(1-3)
◽
pp. 189-205
◽
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
2004 ◽
Vol 111
(2)
◽
pp. 175-206
◽
2002 ◽
Vol 59
(6)
◽
pp. 497-507
◽
2008 ◽
Vol 118
(12)
◽
pp. 2269-2293
◽
2019 ◽
Vol 129
(11)
◽
pp. 4597-4637
◽
Keyword(s):
2018 ◽
Vol 63
(2)
◽
pp. 246-266