Discretisation of FBSDEs driven by càdlàg martingales
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discretisationsemimartingalesjump processesforward-backward stochastic differetial equationsGaltchouck-Kunita-Watanabe decompositioncàdlàg martingales
Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites work
- scientific article; zbMATH DE number 3865127 (Why is no real title available?)
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 1405267 (Why is no real title available?)
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- A semimartingale BSDE related to the minimal entropy martingale measure
- A semimartingale Bellman equation and the variance-optimal martingale measure
- Approximations of small jumps of Lévy processes with a view towards simulation
- Backward Stochastic Differential Equations Driven By Càdlàg Martingales
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
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Cited in
(10)- A gradient method for high-dimensional BSDEs
- A Monte Carlo method for backward stochastic differential equations with Hermite martingales
- The COS method for option valuation under the SABR dynamics
- Model risk and discretisation of locally risk-minimising strategies
- Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
- Solution to the forward and backward stochastic difference equations with asymmetric information and application
- A decomposition approach for the discrete-time approximation of FBSDEs with a jump
- Numerical methods for backward stochastic differential equations: a survey
- Stability of backward stochastic differential equations: the general Lipschitz case
- A unified probabilistic discretization scheme for FBSDEs: stability, consistency, and convergence analysis
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