Donsker-Type Theorem for BSDEs: Rate of Convergence
Résumé
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]
Origine : Fichiers produits par l'(les) auteur(s)
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