Discrete time approximation of BSDEs driven by a Lévy process

DOI10.1515/ROSE.2008.015zbMath1199.60207MaRDI QIDQ5324866

Mohamed El Otmani

Publication date: 8 August 2009

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

zbMATH Keywords

Lévy processapproximation schemeBSDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12)

Cites Work

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