A note on convergence rate for reflected BSDEs with quadratic generators by penalization method
Probability
2026-05-28 v2
Abstract
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 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.
Keywords
Cite
@article{arxiv.2605.25719,
title = {A note on convergence rate for reflected BSDEs with quadratic generators by penalization method},
author = {Guangyan Jia and Peng Luo and Mengbo Zhu},
journal= {arXiv preprint arXiv:2605.25719},
year = {2026}
}