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dc.contributor.authorKharroubi, Idris
dc.contributor.authorLim, Thomas
dc.date.accessioned2012-11-28T14:22:19Z
dc.date.available2012-11-28T14:22:19Z
dc.date.issued2015
dc.identifier.issn0926-6364
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/10650
dc.language.isoenen
dc.subjectDiscrete-time approximation
dc.subjectforward-backward SDE
dc.subjectLipschitz generator
dc.subjectdecomposition in the reference ltration
dc.subjectprogressive enlargement of ltrations
dc.subject.ddc515en
dc.titleA decomposition approach for the discrete-time approximation of FBSDEs with a jump
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherEcole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE) http://www.ensiie.fr/;France
dc.contributor.editoruniversityotherLaboratoire d'analyse et probabilités http://www.univ-evry.fr/fr/recherche/les_laboratoires/analyse_et_probabilites.html Université d'Evry-Val d'Essonne : EA2172;France
dc.contributor.editoruniversityotherCentre de Recherche en Économie et Statistique (CREST) http://www.crest.fr/ INSEE – École Nationale de la Statistique et de l'Administration Économique;France
dc.description.abstractenWe are concerned with the discretization of a solution of a forward-backward stochastic differential equation (FBSDE) with a jump process depending on the Brownian motion. In this paper, we study the cases of Lipschitz generators and the generators with a quadratic growth with respect to the variable z. We propose a recursive scheme based on a general existence result given in the companion paper [Journal of Theoretical Probability 27 (2014), 683–724] and we study the error induced by the time discretization. We prove the convergence of the scheme when the number of time steps n goes to infinity. Our approach allows to get a convergence rate similar to that of schemes of Brownian FBSDEs
dc.publisher.cityParisen
dc.relation.isversionofjnlnameRandom Operators and Stochastic Equations
dc.relation.isversionofjnlvol23
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages81-109
dc.relation.isversionofdoi10.1515/rose-2014-0031
dc.relation.isversionofjnlpublisherDe Gruyter
dc.subject.ddclabelAnalyseen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2016-10-10T14:32:52Z


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