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math.PR2019
Donsker-Type Theorem for BSDEs: Rate of Convergence
Philippe Briand, Christel Geiss, Stefan Geiss +1
In this paper, we study in the Markovian case the rate of convergence in the Wasserstein distance of an approximation of the solution to a BSDE given by a BSDE which is driven by a…
math.PR2019★ 5 cited
Forward and Backward Stochastic Differential Equations with normal constraint in law
Philippe Briand, Pierre Cardaliaguet, Paul-Éric Chaudru de Raynal +1
In this paper we investigate the well-posedness of backward or forward stochastic differential equations whose law is constrained to live in an a priori given (smooth enough) set a…