A two-grid penalization scheme for doubly reflected BSDEs achieves an explicit O(Δt^{1/2}) error bound when the penalty parameter λ is tuned as Δt^{-1/2} and the fine grid satisfies Δ̃t = O(Δt/λ²).
Proba- bility Theory and Related Fields132(2), 237–264 (2005)
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Two-grid Penalty Approximation Scheme for Doubly Reflected BSDEs
A two-grid penalization scheme for doubly reflected BSDEs achieves an explicit O(Δt^{1/2}) error bound when the penalty parameter λ is tuned as Δt^{-1/2} and the fine grid satisfies Δ̃t = O(Δt/λ²).