A decomposition approach for the discrete-time approximation of FBSDEs with a jump (Q2516016)
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scientific article; zbMATH DE number 6471660
| Language | Label | Description | Also known as |
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| English | A decomposition approach for the discrete-time approximation of FBSDEs with a jump |
scientific article; zbMATH DE number 6471660 |
Statements
A decomposition approach for the discrete-time approximation of FBSDEs with a jump (English)
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7 August 2015
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discrete-time approximation
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forward-backward SDE
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Lipschitz generator
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generator of quadratic growth
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progressive enlargement of filtrations
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decomposition in the reference filtration
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0.9027595520019532
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0.8647119998931885
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0.8321416974067688
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0.8300361633300781
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