Discrete-time approximation of decoupled Forward-Backward SDE with jumps (Q2469490)

Motivated by classical numerical schemes for the solution of a large class of (deterministic) partial differential equations of a specific form, the authors consider discrete-time approximation for the solutions of systems of decoupled forward-backward stochastic differential equations with jumps. The convergence of the scheme is proved when the coefficients are Lipschitz-continuous, and an optimal convergence rate is achieved under a non-degeneracy condition.