Donsker-type theorem for BSDEs : Rate of convergence
Finna-arvio
Donsker-type theorem for BSDEs : Rate of convergence
In this paper, we study in the Markovian case the rate of convergence in Wasserstein distance when the solution to a BSDE is approximated by a solution to a BSDE driven by a scaled random walk as introduced in Briand, Delyon and Mémin (Electron. Commun. Probab. 6 (2001) Art. ID 1). This is related to the approximation of solutions to semilinear second order parabolic PDEs by solutions to their associated finite difference schemes and the speed of convergence.
Tallennettuna:
Kieli |
englanti |
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Sarja | Bernoulli, 2 |
Aiheet | |
ISSN |
1350-7265 |