Mean square rate of convergence for random walk approximation of forward-backward SDEs - Geiss, Christel; Labart, Céline; Luoto, Antti (Advances in applied probability, 2020)
Keywords: Approximation; Brownian motion; Convergence; Difference equations; Differential calculus; Finite difference method; Mathematical analysis; Mathematics; Original Article; Original Articles; Partial differential equations; Probabilistic methods; Probability; Properties (attributes); Random variables; Random walk; Smoothness; Backward stochastic differential equations; 60H10; 60H30; 60G50; finite difference equation; random walk approximation; approximation scheme; convergence rate; 60H35; random walk approximation 2010 Mathematics Subject Classification: Primary 60H10; 60G50 Secondary 60H30