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arXiv · 1908.01188

Donsker-Type Theorem for BSDEs: Rate of Convergence

Philippe Briand·Christel Geiss·Stefan Geiss·Céline Labart
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Abstract

In this paper, we study in the Markovian case the rate of convergence in the Wasserstein distance of an approximation of the solution to a BSDE given by a BSDE which is driven by a scaled random walk as introduced in Briand, Delyon and M{\'e}min (Electron. Comm. Probab. 6(2001),1-14).

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Philippe Briand, Christel Geiss, Stefan Geiss, Céline Labart. 2019-08-03. Donsker-Type Theorem for BSDEs: Rate of Convergence. https://arxiv.org/abs/1908.01188

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