A note on convergence rate for reflected BSDEs with quadratic generators by penalization method
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arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2026
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| _version_ | 1866917540039491584 |
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| author | Jia, Guangyan Luo, Peng Zhu, Mengbo |
| author_facet | Jia, Guangyan Luo, Peng Zhu, Mengbo |
| contents | In this paper, we study the convergence rate between reflected backward stochastic differential equations with quadratic generators and their penalized BSDEs. Using techniques of BMO martingales, we prove the convergence rate is at order $\frac{1}{2}$ as a function of the penalty parameter. Finally, the result is applied to study numerical approximation of reflected BSDEs with sub-quadratic generators by the Euler's polygonal line method. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2605_25719 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | A note on convergence rate for reflected BSDEs with quadratic generators by penalization method Jia, Guangyan Luo, Peng Zhu, Mengbo Probability In this paper, we study the convergence rate between reflected backward stochastic differential equations with quadratic generators and their penalized BSDEs. Using techniques of BMO martingales, we prove the convergence rate is at order $\frac{1}{2}$ as a function of the penalty parameter. Finally, the result is applied to study numerical approximation of reflected BSDEs with sub-quadratic generators by the Euler's polygonal line method. |
| title | A note on convergence rate for reflected BSDEs with quadratic generators by penalization method |
| topic | Probability |
| url | https://arxiv.org/abs/2605.25719 |