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).
Stochastic Processes and their Applications118(1), 53–75 (2008)
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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).