We study the strong approximation of a backward SDE with finite stopping time horizon, namely the first exit time of a forward SDE from a cylindrical domain. We use the Euler scheme approach of ...

Stein's method has emerged as a critical framework in the study of distributional approximations, providing quantitative bounds between probability distributions through the formulation and solution ...

Abstract.The subject of this paper is the analytic approximation of solution to stochastic differential delay equations with Poisson jump. We introduce approximate methods for stochastic differential ...