Proves O(1/sqrt(penalty)) convergence rate between reflected quadratic-generator BSDEs and penalized BSDEs via BMO martingales, with application to Euler polygonal approximation for sub-quadratic generators.
Control Lett
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A note on convergence rate for reflected BSDEs with quadratic generators by penalization method
Proves O(1/sqrt(penalty)) convergence rate between reflected quadratic-generator BSDEs and penalized BSDEs via BMO martingales, with application to Euler polygonal approximation for sub-quadratic generators.