Random walk approximation of BSDEs with Hölder continuous terminal condition

DOI10.3150/19-BEJ1120zbMath1433.60033arXiv1806.07674OpenAlexW2990364650WikidataQ109746642 ScholiaQ109746642MaRDI QIDQ2278659

Antti Luoto, Christel Geiss, Céline Labart

Publication date: 5 December 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.07674

zbMATH Keywords

backward stochastic differential equationsnumerical schemespeed of convergencerandom walk approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

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 ⋮ An overview on deep learning-based approximation methods for partial differential equations ⋮ A functional limit theorem for coin tossing Markov chains ⋮ Donsker-type theorem for BSDEs: rate of convergence ⋮ Mean square rate of convergence for random walk approximation of forward-backward SDEs

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