Donsker-Type Theorem for BSDEs: Rate of Convergence
| Autor: | Briand, Philippe, Geiss, Christel, Geiss, Stefan, Labart, Céline |
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| Rok vydání: | 2019 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | 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). |
| Databáze: | arXiv |
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