Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems.

In this paper, we prove new convergence results improving the ones by Chassagneux et al. (2012) for the discrete-time approximation of multidimensional obliquely reflected BSDEs. These BSDEs, arising in the study of switching problems, were considered by Hu and Tang (2010) and generalized by Hamadène and Zhang (2010) and Chassagneux et al. (2011). Our main result is a rate of convergence obtained in the Lipschitz setting and under the same structural conditions on the generator as the one required for the existence and uniqueness of a solution to the obliquely reflected BSDE. [ABSTRACT FROM AUTHOR]