Random walk approximation of BSDEs with H{\"o}lder continuous terminal condition

Christel Geiss; Céline Labart; Antti Luoto

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arXiv · 1806.07674

Random walk approximation of BSDEs with H{\"o}lder continuous terminal condition

Christel Geiss·Céline Labart·Antti Luoto

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Abstract

In this paper we consider the random walk approximation of the solution of a Markovian BSDE whose terminal condition is a locally H{\"o}lder continuous function of the Brownian motion. We state the rate of the L 2-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.

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Christel Geiss, Céline Labart, Antti Luoto. 2018-06-20. Random walk approximation of BSDEs with H{\"o}lder continuous terminal condition. https://arxiv.org/abs/1806.07674

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