Convergence rate for random walk approximations of mean field BSDEs

We study the rate of convergence w.r.t. a Wasserstein type distance for random walk approximation of mean field BSDEs. This article continuous [Briand et al., Donsker-Type Theorem For BSDEs: Rate of Convergence, Bernoulli, 2021], where the rate of convergence of a Donsker-type theorem for standard B...

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Bibliographic Details
Main Authors Djehiche, Boualem, Geiss, Hannah, Geiss, Stefan, Labart, Céline, Nykänen, Jani
Format Journal Article
LanguageEnglish
Published 21.09.2024
Subjects
Mathematics - Probability
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Summary:We study the rate of convergence w.r.t. a Wasserstein type distance for random walk approximation of mean field BSDEs. This article continuous [Briand et al., Donsker-Type Theorem For BSDEs: Rate of Convergence, Bernoulli, 2021], where the rate of convergence of a Donsker-type theorem for standard BSDEs is studied.
DOI:10.48550/arxiv.2409.14212