Quantization-based approximation of reflected BSDEs with extended upper bounds for recursive quantization

arXiv2105.07684MaRDI QIDQ6367804FDOQ6367804

Authors: Rancy El Nmeir, Gilles Pagès 

Publication date: 17 May 2021

Abstract: We establish upper bounds for the $L^p$-quantization error, p in (1, 2+d), induced by the recursive Markovian quantization of a d-dimensional diffusion discretized via the Euler scheme. We introduce a hybrid recursive quantization scheme, easier to implement in the high-dimensional framework, and establish upper bounds to the corresponding $L^p$-quantization error. To take advantage of these extensions, we propose a time discretization scheme and a recursive quantization-based discretization scheme associated to a reflected Backward Stochastic Differential Equation and estimate $L^p$-error bounds induced by the space approximation. We will explain how to numerically compute the solution of the reflected BSDE relying on the recursive quantization and compare it to other types of quantization.

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