Discretisation of FBSDEs driven by càdlàg martingales

DOI10.1016/j.jmaa.2015.10.022zbMath1333.60155OpenAlexW1785343857MaRDI QIDQ892339

Asma Khedher, Michèle Vanmaele

Publication date: 18 November 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2015.10.022

zbMATH Keywords

semimartingalesjump processesdiscretisationcàdlàg martingalesforward-backward stochastic differetial equationsGaltchouck-Kunita-Watanabe decomposition

Mathematics Subject Classification ID

Related Items (6)

Solution to the forward and backward stochastic difference equations with asymmetric information and application ⋮ A Monte Carlo method for backward stochastic differential equations with Hermite martingales ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ The COS method for option valuation under the SABR dynamics ⋮ Model risk and discretisation of locally risk-minimising strategies

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