Discrete-time approximation for continuously and discretely reflected BSDEs

Stochastic Processes and their Applications

Volumn 118, Issue 12, 2008, Pages 2269-2293

  Bouchard, Bruno ^a   Chassagneux, Jean François ^b  

^a SORBONNE UNIVERSITÉ   (France)

^b CREST   (France)

Author keywords

Discrete time approximation schemes; Reflected BSDEs; Regularity

Indexed keywords

CONTINUOUS TIME SYSTEMS; POLYNOMIAL APPROXIMATION; SOLUTIONS;

CONVERGENCE RATES; CONVERGENCE RESULTS; DISCRETE-TIME APPROXIMATION SCHEMES; LIPSCHITZ; MARKOVIAN; REFLECTED BSDES; REFLECTING BARRIERS; REFLECTION TIMES; REGULARITY; SECOND DERIVATIVES; STOCHASTIC PROCESSES;

REFLECTION;

EID: 55849111925     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.12.007     Document Type: Article

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