Discrete-Time Approximation of Decoupled Forward‒Backward Stochastic Differential Equations Driven by Pure Jump Lévy Processes
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Publication:2856036
DOI10.1239/aap/1377868539zbMath1274.60216arXiv1110.5059OpenAlexW2009090636MaRDI QIDQ2856036
Publication date: 23 October 2013
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1110.5059
Malliavin calculusEuler schemediscrete-time approximationdecoupled forward-backward SDE with jumpsmall jumps
Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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