dc.contributor.author Chassagneux, Jean-François dc.contributor.author Kharroubi, Idris dc.contributor.author Elie, Romuald dc.date.accessioned 2010-04-29T14:40:25Z dc.date.available 2010-04-29T14:40:25Z dc.date.issued 2012 dc.identifier.uri https://basepub.dauphine.fr/handle/123456789/4050 dc.language.iso en en dc.subject BSDE with oblique reflections en dc.subject Discrete time approximation en dc.subject Switching problems en dc.subject.ddc 519 en dc.title Discrete-time Approximation of Multidimensional BSDEs with oblique reflections en dc.type Article accepté pour publication ou publié dc.description.abstracten 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 $\frac{1}{2} - \epsilon$, $\epsilon>0$. en dc.relation.isversionofjnlname The Annals of Applied Probability dc.relation.isversionofjnlvol 22 dc.relation.isversionofjnlissue 3 dc.relation.isversionofjnldate 2012 dc.relation.isversionofjnlpages 971-1007 dc.relation.isversionofdoi http://dx.doi.org/10.1214/11-AAP771 dc.identifier.urlsite http://hal.archives-ouvertes.fr/hal-00475628/fr/ en dc.description.sponsorshipprivate oui en dc.relation.isversionofjnlpublisher Institute of Mathematical Statistics dc.subject.ddclabel Probabilités et mathématiques appliquées en
﻿

## Files in this item

FilesSizeFormatView

There are no files associated with this item.