scientific article; zbMATH DE number 6479093

MaRDI QIDQ2944055zbMATH OpenFDO

Authors Soledad Torres

Publication date 7 September 2015

zbMATH Keywords

Brownian motionDonsker's theoremsItō's formulanumerical methodssimple random walkstochastic backward differential equations

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Brownian motion (60J65) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(4)

• Donsker-type theorem for BSDEs: rate of convergence
• On Donsker type theorem for discretely reflected backward SDEs
• Probabilistic methods for semilinear partial differential equations. Applications to finance
• Donsker-type theorem for BSDEs

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