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

Summary In this paper, we prove new convergence results improving the ones by Chassagneux, Elie and Kharroubi [Ann. Appl. Probab. 22 (2012) 971–1007] 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 [Probab. Theory Related Fields 147 (2010) 89–121] and generalized by Hamadène and Zhang [Stochastic Process. Appl.