Donsker-type theorem for BSDEs : Rate of convergence
| dc.contributor.author | Briand, Philippe | |
| dc.contributor.author | Geiss, Christel | |
| dc.contributor.author | Geiss, Stefan | |
| dc.contributor.author | Labart, Céline | |
| dc.date.accessioned | 2021-04-20T11:07:18Z | |
| dc.date.available | 2021-04-20T11:07:18Z | |
| dc.date.issued | 2021 | |
| dc.identifier.citation | Briand, P., Geiss, C., Geiss, S., & Labart, C. (2021). Donsker-type theorem for BSDEs : Rate of convergence. <i>Bernoulli</i>, <i>27</i>(2), 899-929. <a href="https://doi.org/10.3150/20-BEJ1259" target="_blank">https://doi.org/10.3150/20-BEJ1259</a> | |
| dc.identifier.other | CONVID_66434940 | |
| dc.identifier.uri | https://jyx.jyu.fi/handle/123456789/75131 | |
| dc.description.abstract | 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. | 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 | convergence rate | |
| dc.subject.other | Donsker’s theorem | |
| dc.subject.other | finite difference scheme | |
| dc.subject.other | scaled random walk | |
| dc.subject.other | Wasserstein distance | |
| dc.title | Donsker-type theorem for BSDEs : Rate of convergence | |
| dc.type | research article | |
| dc.identifier.urn | URN:NBN:fi:jyu-202104202431 | |
| 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 | 899-929 | |
| dc.relation.issn | 1350-7265 | |
| dc.relation.numberinseries | 2 | |
| dc.relation.volume | 27 | |
| dc.type.version | acceptedVersion | |
| dc.rights.copyright | © 2021 ISI/BS | |
| dc.rights.accesslevel | openAccess | fi |
| dc.type.publication | article | |
| dc.subject.yso | konvergenssi | |
| dc.subject.yso | differentiaaliyhtälöt | |
| dc.subject.yso | stokastiset prosessit | |
| dc.subject.yso | approksimointi | |
| dc.format.content | fulltext | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p14179 | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p3552 | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p11400 | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p4982 | |
| dc.rights.url | http://rightsstatements.org/page/InC/1.0/?language=en | |
| dc.relation.doi | 10.3150/20-BEJ1259 | |
| dc.type.okm | A1 |
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