1 citations · 1 across the 2 of their papers we have counts for
4 papers
Mean square rate of convergence for random walk approximation of forward-backward SDEs
Christel Geiss, Céline Labart, Antti Luoto
Let (Y, Z) denote the solution to a forward-backward SDE. If one constructs a random walk B n from the underlying Brownian motion B by Skorohod embedding, one can show L 2 converge…
Random walk approximation of BSDEs with H{ö}lder continuous terminal condition
Christel Geiss, Céline Labart, Antti Luoto
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 motio…
On first exit times and their means for Brownian bridges
Christel Geiss, Antti Luoto, Paavo Salminen
For a Brownian bridge from to we prove that the mean of the first exit time from interval behaves as when Similar behavior is…
Time-dependent weak rate of convergence for functions of generalized bounded variation
Antti Luoto
Let denote the Brownian motion. For any exponentially bounded Borel function the function defined by is the stochastic solution of…