Random walk approximation of BSDEs with Hölder continuous terminal condition
| dc.contributor.author | Geiss, Christel | |
| dc.contributor.author | Labart, Céline | |
| dc.contributor.author | Luoto, Antti | |
| dc.date.accessioned | 2021-02-08T13:27:26Z | |
| dc.date.available | 2021-02-08T13:27:26Z | |
| dc.date.issued | 2020 | |
| dc.identifier.citation | Geiss, C., Labart, C., & Luoto, A. (2020). Random walk approximation of BSDEs with Hölder continuous terminal condition. <i>Bernoulli</i>, <i>26</i>(1), 159-190. <a href="https://doi.org/10.3150/19-BEJ1120" target="_blank">https://doi.org/10.3150/19-BEJ1120</a> | |
| dc.identifier.other | CONVID_33652003 | |
| dc.identifier.uri | https://jyx.jyu.fi/handle/123456789/74040 | |
| dc.description.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. | en |
| dc.format.mimetype | application/pdf | |
| dc.language | eng | |
| dc.language.iso | eng | |
| dc.publisher | International Statistical Institute | |
| dc.relation.ispartofseries | Bernoulli | |
| dc.rights | In Copyright | |
| dc.subject.other | backward stochastic differential equations | |
| dc.subject.other | numerical scheme | |
| dc.subject.other | random walk approximation | |
| dc.subject.other | speed of convergence | |
| dc.title | Random walk approximation of BSDEs with Hölder continuous terminal condition | |
| dc.type | research article | |
| dc.identifier.urn | URN:NBN:fi:jyu-202102081482 | |
| dc.contributor.laitos | Matematiikan ja tilastotieteen laitos | fi |
| dc.contributor.laitos | Department of Mathematics and Statistics | en |
| dc.contributor.oppiaine | Matematiikka | fi |
| dc.contributor.oppiaine | Mathematics | en |
| dc.type.uri | http://purl.org/eprint/type/JournalArticle | |
| dc.type.coar | http://purl.org/coar/resource_type/c_2df8fbb1 | |
| dc.description.reviewstatus | peerReviewed | |
| dc.format.pagerange | 159-190 | |
| dc.relation.issn | 1350-7265 | |
| dc.relation.numberinseries | 1 | |
| dc.relation.volume | 26 | |
| dc.type.version | publishedVersion | |
| dc.rights.copyright | © 2020 ISI/BS | |
| dc.rights.accesslevel | openAccess | fi |
| dc.type.publication | article | |
| dc.subject.yso | numeeriset menetelmät | |
| dc.subject.yso | stokastiset prosessit | |
| dc.format.content | fulltext | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p6588 | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p11400 | |
| dc.rights.url | http://rightsstatements.org/page/InC/1.0/?language=en | |
| dc.relation.doi | 10.3150/19-BEJ1120 | |
| dc.type.okm | A1 |
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