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dc.contributor.authorChassagneux, Jean-François
dc.contributor.authorKharroubi, Idris
dc.contributor.authorElie, Romuald
dc.date.accessioned2010-04-29T14:40:25Z
dc.date.available2010-04-29T14:40:25Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4050
dc.language.isoenen
dc.subjectBSDE with oblique reflectionsen
dc.subjectDiscrete time approximationen
dc.subjectSwitching problemsen
dc.subject.ddc519en
dc.titleDiscrete-time Approximation of Multidimensional BSDEs with oblique reflectionsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn 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.isversionofjnlnameThe Annals of Applied Probability
dc.relation.isversionofjnlvol22
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages971-1007
dc.relation.isversionofdoihttp://dx.doi.org/10.1214/11-AAP771
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00475628/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherInstitute of Mathematical Statistics
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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