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dc.contributor.authorChassagneux, Jean-François
dc.contributor.authorBouchard, Bruno
dc.date.accessioned2009-09-24T12:41:26Z
dc.date.available2009-09-24T12:41:26Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1928
dc.language.isoenen
dc.subjectDiscrete-time approximation schemesen
dc.subjectNumerical Probabilityen
dc.subject.ddc519en
dc.titleDiscrete time approximation for continuously and discretely reflected BSDE'sen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité Paris 7, Paris;France
dc.description.abstractenWe study the discrete-time approximation of the solution (Y,Z,K) of a reflected BSDE. As in Ma and Zhang [J. Ma, J. Zhang, Representations and regularities for solutions to BSDEs with reflections, Stochastic Processes and their Applications 115 (2005) 539–569], we consider a Markovian setting with a reflecting barrier of the form h(X) where X solves a forward SDE. We first focus on the discretely reflected case. Based on a representation for the Z component in terms of the next reflection time, we retrieve the convergence result of Ma and Zhang [J. Ma, J. Zhang, Representations and regularities for solutions to BSDEs with reflections, Stochastic Processes and their Applications 115 (2005) 539–569] without their uniform ellipticity condition on X. These results are then extended to the case where the reflection operates continuously. We also improve the bound on the convergence rate when View the MathML source with the Lipschitz second derivative.en
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol118en
dc.relation.isversionofjnlissue12en
dc.relation.isversionofjnldate2008-12
dc.relation.isversionofjnlpages2269-2293en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.spa.2007.12.007en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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