A1 Journal article (refereed)
Random walk approximation of BSDEs with Hölder continuous terminal condition (2020)


Geiss, Christel; Labart, Céline; Luoto, Antti (2020). Random walk approximation of BSDEs with Hölder continuous terminal condition. Bernoulli, 26 (1), 159-190. DOI: 10.3150/19-BEJ1120


JYU authors or editors


Publication details

All authors or editors: Geiss, Christel; Labart, Céline; Luoto, Antti

Journal or series: Bernoulli

ISSN: 1350-7265

eISSN: 1573-9759

Publication year: 2020

Volume: 26

Issue number: 1

Pages range: 159-190

Publisher: International Statistical Institute

Publication country: Netherlands

Publication language: English

DOI: http://doi.org/10.3150/19-BEJ1120

Open Access: Publication channel is not openly available

Web address of parallel published publication (pre-print): https://hal.archives-ouvertes.fr/hal-01818668v2


Abstract

In this paper, we consider the random walk approximation of the solution of a Markovian BSDE whose terminal condition is a locally Hölder continuous function of the Brownian motion. We state the rate of the L2-convergence of the approximated solution to the true one. The proof relies in part on growth and smoothness properties of the solution u of the associated PDE. Here we improve existing results by showing some properties of the second derivative of u in space.


Keywords: stochastic processes; numerical methods

Free keywords: backward stochastic differential equations; numerical scheme; random walk approximation; speed of convergence


Contributing organizations


Ministry reporting: Yes

Reporting Year: 2020

Preliminary JUFO rating: 2


Last updated on 2020-09-07 at 23:12