Displaying similar documents to “Donsker-type theorem for BSDEs.”

Stability of solutions of BSDEs with random terminal time

Sandrine Toldo (2006)

ESAIM: Probability and Statistics

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In this paper, we study the stability of the solutions of Backward Stochastic Differential Equations (BSDE for short) with an almost surely finite random terminal time. More precisely, we are going to show that if () is a sequence of scaled random walks or a sequence of martingales that converges to a Brownian motion and if ( τ n ) is a sequence of stopping times that converges to a stopping time , then the solution of the BSDE driven by with random terminal time τ n converges to the solution...

On the discretization in time of parabolic stochastic partial differential equations

Jacques Printems (2001)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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We first generalize, in an abstract framework, results on the order of convergence of a semi-discretization in time by an implicit Euler scheme of a stochastic parabolic equation. In this part, all the coefficients are globally Lipchitz. The case when the nonlinearity is only locally Lipchitz is then treated. For the sake of simplicity, we restrict our attention to the Burgers equation. We are not able in this case to compute a pathwise order of the approximation, we introduce the weaker...