Bernhart, Marie; Huy\^en Pham; Tankov, Peter; Warin, Xavier - arXiv.org - 2011
scheme to the resulting penalized BSDE with jumps. We study the convergence of this numerical method, with respect to the … particular, we obtain a convergence rate of the error due to penalization of order $(\lambda p)^{\alpha - \frac{1}{2}}, \forall …