Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems (Q2010492)

In this paper, the authors establish some new convergence results for the discrete-time approximation of multidimensional obliquely reflected BSDEs in the Lipschitz setting and under the same structural conditions on the generator as the one required for the existence and uniqueness of a solution to the obliquely reflected BSDE. These BSDEs come from economics applications, especially to energy markets. Those convergence rates improve the ones by the first author et al. [Electron. Commun. Probab. 16, 120--128 (2011; Zbl 1232.93095); Ann. Appl. Probab. 22, No. 3, 971--1007 (2012; Zbl 1243.93128)]. They are very interesting and important in the study of the numerics of multidimensional obliquely reflected BSDEs.