Donsker-type theorem for BSDEs : Rate of convergence
Briand, P., Geiss, C., Geiss, S., & Labart, C. (2021). Donsker-type theorem for BSDEs : Rate of convergence. Bernoulli, 27(2), 899-929. https://doi.org/10.3150/20-BEJ1259
Published in
BernoulliDate
2021Copyright
© 2021 ISI/BS
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.
Publisher
International Statistical InstituteISSN Search the Publication Forum
1350-7265Keywords
Publication in research information system
https://converis.jyu.fi/converis/portal/detail/Publication/66434940
Metadata
Show full item recordCollections
License
Related items
Showing items with similar title or keywords.
-
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 ... -
Weighted bounded mean oscillation applied to backward stochastic differential equations
Geiss, Stefan; Ylinen, Juha (Elsevier, 2020)We deduce conditional -estimates for the variation of a solution of a BSDE. Both quadratic and sub-quadratic types of BSDEs are considered, and using the theory of weighted bounded mean oscillation we deduce new tail ... -
Markov chain backward stochastic differential equations in modeling insurance policy
Hänninen, Henri (2022)Tässä tutkielmassa tarkastelemme henkivakuutuksen varantoa. Mallinnamme henkivakuutusta Markovin prosessin avulla, ja varannon määrittelyyn ja mallintamiseen käytämme Markovin ketju BSDE:itä (Markovin ketju takaperoinen ... -
Backward stochastic differential equations in dynamics of life insurance solvency risk
Hinkkanen, Onni (2022)In this thesis we describe the dynamics of solvency level in life insurance contracts. We do this by representing the underlying sources of risk and the solvency level as the solution to a forward-backward stochastic ...