Donsker-Type Theorem for BSDEs: Rate of Convergence

Philippe Briand (1) , Christel Geiss (2) , Stefan Geiss (2) , Celine Labart (1)

1 LAMA - Laboratoire de Mathématiques
2 JYU - Department of Mathematics and Statistics [Jyväskylä Univ]

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 Mémin (Electron. Comm. Pro-bab. 6 (2001), 1-14).

Domaines: Probabilités [math.PR]

Philippe Briand, Christel Geiss, Stefan Geiss, Celine Labart. Donsker-Type Theorem for BSDEs: Rate of Convergence. 2019. ⟨hal-02165750⟩