Showing items with similar title or keywords.

• On fractional smoothness and approximations of stochastic integrals 

  Toivola, Anni (University of Jyväskylä, 2009)

• On Malliavin calculus and approximation of stochastic integrals for Lévy processes 

  Laukkarinen, Eija (University of Jyväskylä, 2012)

• Random walk approximation of BSDEs with Hölder continuous terminal condition 

  Geiss, Christel; Labart, Céline; Luoto, Antti (International Statistical Institute, 2020)

  In this paper, we consider the random walk approximation of the solution of a Markovian BSDE whose terminal condition is a locally Hölder continuous function of the Brownian motion. We state the rate of the L2-convergence ...

• Mean square rate of convergence for random walk approximation of forward-backward SDEs 

  Geiss, Christel; Labart, Céline; Luoto, Antti (Cambridge University Press (CUP), 2020)

  Let (Y, Z) denote the solution to a forward-backward stochastic differential equation (FBSDE). If one constructs a random walk from the underlying Brownian motion B by Skorokhod embedding, one can show -convergence of ...

• Approximation of heat equation and backward SDEs using random walk : convergence rates 

  Luoto, Antti (University of Jyväskylä, 2018)

  This thesis addresses questions related to approximation arising from the fields of stochastic analysis and partial differential equations. Theoretical results regarding convergence rates are obtained by using discretization ...