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

DOI10.1016/J.SPA.2018.12.009MaRDI QIDQ2010492zbMATH OpenOpenAlexWikidataFDO

Authors Jean-Francois Chassagneux, Adrien Richou

Publication date 27 November 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.00015

zbMATH Keywords

BSDE with oblique reflectionsdiscrete time approximationswitching problems

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Probabilistic methods, stochastic differential equations (65C99) Optimal stochastic control (93E20)

Abstract: In this paper, we prove new convergence results improving the ones by Chassagneux, Elie and Kharroubi [Ann. Appl. Probab. 22 (2012) 971--1007] for the discrete-time approximation of multidimensional obliquely reflected BSDEs. These BSDEs, arising in the study of switching problems, were considered by Hu and Tang [Probab. Theory Related Fields 147 (2010) 89--121] and generalized by Hamad`ene and Zhang [Stochastic Process. Appl. 120 (2010) 403--426] and Chassagneux, Elie and Kharroubi [Electron. Commun. Probab. 16 (2011) 120--128]. Our main result is a rate of convergence obtained 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.

Review text

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.

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Cited in

(11)

• Donsker-type theorem for BSDEs: rate of convergence
• Random walk approximation of BSDEs with Hölder continuous terminal condition
• Discrete-time approximation for continuously and discretely reflected BSDEs
• A discrete-time approximation for doubly reflected BSDEs
• Cubature method to solve BSDEs: Error expansion and complexity control
• Mean square rate of convergence for random walk approximation of forward-backward SDEs
• A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
• Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers
• Deep signature algorithm for multidimensional path-dependent options
• Diagonally quadratic BSDE with oblique reflection and optimal switching
• Simulation of McKean-Vlasov BSDEs by Wiener chaos expansion

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