Discretisation of FBSDEs driven by càdlàg martingales
DOI10.1016/J.JMAA.2015.10.022zbMATH Open1333.60155OpenAlexW1785343857MaRDI QIDQ892339FDOQ892339
Authors: 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
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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)
Cites Work
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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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