A decomposition approach for the discrete-time approximation of FBSDEs with a jump
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Publication:2516016
DOI10.1515/rose-2014-0031zbMath1318.65005arXiv1503.02152MaRDI QIDQ2516016
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
progressive enlargement of filtrations; discrete-time approximation; Lipschitz generator; decomposition in the reference filtration; forward-backward SDE; generator of quadratic growth
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