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

zbMATH Keywords

finite difference equationbackward stochastic differential equationsconvergence rateapproximation schemerandom walk approximation

Mathematics Subject Classification ID

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)

Related Items (3)

Numerical methods for backward stochastic differential equations: a survey ⋮ 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

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