Approximation and error analysis of forward–backward SDEs driven by general Lévy processes using shot noise series representations
DOI10.1051/PS/2023013zbMath1517.60065arXiv2108.04777OpenAlexW3191193324MaRDI QIDQ6133927
Publication date: 21 August 2023
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.04777
Lévy processesEuler schemediscrete-time approximationdecoupled forward-backward SDEs with jumpsshot noise series representation
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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