75 citations · 130 across the 14 of their papers we have counts for
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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…
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…
Mean Reflected Stochastic Differential Equations with Jumps
Philippe Briand, Abir Ghannoum, Céline Labart
This paper is devoted to the study of reflected Stochastic Differential Equations with jumps when the constraint is not on the paths of the solution but acts on the law of the solu…
Particles Systems and Numerical Schemes for Mean Reflected Stochastic Differential Equations
Philippe Briand, Paul-Éric Chaudru de Raynal, Arnaud Guillin +1
This paper is devoted to the study of reflected Stochastic Differential Equations when the constraint is not on the paths of the solution but acts on the law of the solution. These…
Simulation of BSDEs with jumps by Wiener Chaos Expansion
Christel Geiss, Céline Labart
We present an algorithm to solve BSDEs with jumps based on Wiener Chaos Expansion and Picard's iterations. This paper extends the results given in Briand-Labart (2014) to the case…