Mean square rate of convergence for random walk approximation of forward-backward SDEs
type: Item
instance of: scholarly article
title: Mean square rate of convergence for random walk approximation of forward-backward SDEs
zbMATH Open document ID: 1473.60089
author: Christel Geiss
author: Céline Labart
author: Antti Luoto
published in: Advances in Applied Probability
publication date: 2021-08-04T00:00:00Z
full work available at URL: https://arxiv.org/abs/1807.05889
full work available at URL: URN:NBN:fi:jyu-202101261275
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60G50
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 7378183
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: approximation scheme
zbMATH Keywords: finite difference equation
zbMATH Keywords: convergence rate
zbMATH Keywords: random walk approximation
Wikidata QID: Q109744842
MaRDI profile type: Publication
OpenAlex ID: W3088799365
arXiv ID: 1807.05889
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DOI: 10.1017/APR.2020.17
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description: scientific article; zbMATH DE number 7378183