Search results for "Donsker’s theorem"

showing 1 items of 1 documents

Donsker-Type Theorem for BSDEs: Rate of Convergence

2019

In this paper, we study in the Markovian case the rate of convergence in Wasserstein distance when the solution to a BSDE is approximated by a solution to a BSDE driven by a scaled random walk as introduced in Briand, Delyon and Mémin (Electron. Commun. Probab. 6 (2001) Art. ID 1). This is related to the approximation of solutions to semilinear second order parabolic PDEs by solutions to their associated finite difference schemes and the speed of convergence. peerReviewed

Statistics and Probability[MATH.MATH-PR] Mathematics [math]/Probability [math.PR]Markov processType (model theory)scaled random walk01 natural sciencesconvergence rate010104 statistics & probabilitysymbols.namesakeMathematics::ProbabilityConvergence (routing)FOS: MathematicsOrder (group theory)Applied mathematicsWasserstein distance0101 mathematicsDonsker's theoremstokastiset prosessitMathematicskonvergenssiProbability (math.PR)010102 general mathematicsFinite differenceRandom walk[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]Rate of convergencebackward stochastic differential equationssymbolsapproksimointiDonsker’s theoremfinite difference schemedifferentiaaliyhtälötMathematics - Probability
researchProduct