Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier

In this paper, we consider BSDEs with a Lipschitz coefficient reflected on one discontinuous (r.c.l.l.) barrier. We prove the convergence of the solutions of the penalized equations to the solution of the RBSDE.

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Year of publication:	2005
Authors:	Lepeltier, J.-P. ; Xu, M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 75.2005, 1, p. 58-66
Publisher:	Elsevier
Keywords:	Reflected backward stochastic differential equation Penalization method Optimal stopping Snell envelope

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211791