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Decoupling on the Wiener space and variational estimates for BSDEs
PublisherUniversity of Jyväskylä
ISSN Search the Publication Forum1457-8905
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- Väitöskirjat 
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Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs Geiss, Stefan; Ylinen, Juha (American Mathematical Society, 2021)We introduce a decoupling method on the Wiener space to define a wide class of anisotropic Besov spaces. The decoupling method is based on a general distributional approach and not restricted to the Wiener space. The class ...
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 ...
Donsker-type theorem for BSDEs : Rate of convergence Briand, Philippe; Geiss, Christel; Geiss, Stefan; Labart, Céline (International Statistical Institute, 2021)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, ...
Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting Geiss, Christel; Steinicke, Alexander (Shandong Daxue, 2018)We show that the comparison results for a backward SDE with jumps established in Royer (Stoch. Process. Appl 116: 1358–1376, 2006) and Yin and Mao (J. Math. Anal. Appl 346: 345–358, 2008) hold under more simplified ...
Unbiased Estimators and Multilevel Monte Carlo Vihola, Matti (Institute for Operations Research and the Management Sciences, 2018)Multilevel Monte Carlo (MLMC) and recently proposed unbiased estimators are closely related. This connection is elaborated by presenting a new general class of unbiased estimators, which admits previous debiasing schemes ...