Discrete-time approximation for continuously and discretely reflected BSDEs

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Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE (2012, background): “A direct approach would be to design a discretization scheme for the BSDE with constrained jumps in the line of numerical schemes for discretized reflected BSDEs (see [13], [4]), and this has to be developed.”
Discrete time approximation of decoupled Forward-Backward SDE with jumps (2008, methodology): “" n−1+". Proof. We adapt the arguments of [ 6 ].”
A PRIMAL–DUAL ALGORITHM FOR BSDES (2013, background): “This type of duality was first introduced independently by Rogers (2002) and Haugh and Kogan (2004) in the context of Bermudan option pricing, and was later extended by Brown et al. (2010) to general discrete time stochastic control problems.”