Mean square rate of convergence for random walk approximation of forward-backward SDEs
DOI10.1017/apr.2020.17zbMath1473.60089arXiv1807.05889OpenAlexW3088799365WikidataQ109744842 ScholiaQ109744842MaRDI QIDQ5005033
Christel Geiss, Antti Luoto, Céline Labart
Publication date: 4 August 2021
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.05889
finite difference equationbackward stochastic differential equationsconvergence rateapproximation schemerandom walk approximation
Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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