Random walk approximation of BSDEs with Hölder continuous terminal condition
Abstract
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 of the approximated solution to the true one. The proof relies in part on growth and smoothness properties of the solution u of the associated PDE. Here we improve existing results by showing some properties of the second derivative of u in space.
Main Authors
Format
Articles
Research article
Published
2020
Series
Subjects
Publication in research information system
Publisher
International Statistical Institute
The permanent address of the publication
https://urn.fi/URN:NBN:fi:jyu-202102081482Use this for linking
Review status
Peer reviewed
ISSN
1350-7265
DOI
https://doi.org/10.3150/19-BEJ1120
Language
English
Published in
Bernoulli
Citation
- Geiss, C., Labart, C., & Luoto, A. (2020). Random walk approximation of BSDEs with Hölder continuous terminal condition. Bernoulli, 26(1), 159-190. https://doi.org/10.3150/19-BEJ1120
License
Copyright© 2020 ISI/BS