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1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires 2 CREST - Centre de Recherche en Économie et Statistique

Abstract : We study the discrete time approximation of doubly reflected BSDEs in a multidimensional setting. As in Ma and Zhang 2005 or Bouchard and Chassagneux 2006, we introduce the discretely reflected counterpart of these equations. We then provide representation formulae which allow us to obtain new regularity results. We also propose an Euler scheme-s type approximation and give new convergence results for both discretely and continuously reflected BSDEs.

Keywords : Reflected BSDEs discrete-time approximation schemes Game Option regularity

Autor: Jean-François Chassagneux -

Fuente: https://hal.archives-ouvertes.fr/


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