Donsker-Type Theorem for BSDEs: Rate of Convergence
Probability
2019-08-06 v1
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).
Cite
@article{arxiv.1908.01188,
title = {Donsker-Type Theorem for BSDEs: Rate of Convergence},
author = {Philippe Briand and Christel Geiss and Stefan Geiss and Céline Labart},
journal= {arXiv preprint arXiv:1908.01188},
year = {2019}
}