A decomposition approach for the discrete-time approximation of FBSDEs with a jump

DOI10.1515/rose-2014-0031zbMath1318.65005arXiv1503.02152OpenAlexW2964082646MaRDI QIDQ2516016

Thomas Lim, Idris Kharroubi

Publication date: 7 August 2015

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.02152

zbMATH Keywords

progressive enlargement of filtrationsdiscrete-time approximationLipschitz generatordecomposition in the reference filtrationforward-backward SDEgenerator of quadratic growth

Mathematics Subject Classification ID

Random measures (60G57) Numerical solutions to stochastic differential and integral equations (65C30)

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