Donsker-type theorem for BSDEs: rate of convergence

DOI10.3150/20-BEJ1259zbMath1480.60152arXiv1908.01188OpenAlexW3155163548WikidataQ109746644 ScholiaQ109746644MaRDI QIDQ2040042

Christel Geiss, Céline Labart, Stefan Geiss, Philippe Briand

Publication date: 9 July 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.01188

zbMATH Keywords

finite difference schemebackward stochastic differential equationsconvergence rateWasserstein distanceDonsker's theoremscaled random walk

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Functional limit theorems; invariance principles (60F17)

Related Items (4)

Quantitative control of Wasserstein distance between Brownian motion and the Goldstein-Kac telegraph process ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations

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