Random walk approximation of BSDEs with H{ö}lder continuous terminal condition

Abstract

In this paper we consider the random walk approximation of the solution of a Markovian BSDE whose terminal condition is a locally H{ö}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.