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dc.contributor.authorLim, Thomas
dc.contributor.authorKharroubi, Idris
dc.subjectdecomposition in the reference filtrationen
dc.subjectprogressive enlargement of filtrationsen
dc.subjectgenerator of quadratic growthen
dc.subjectforward-backward SDE with a jumpen
dc.subjectDiscrete-time approximationen
dc.titleA decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic caseen
dc.typeDocument de travail / Working paper
dc.contributor.editoruniversityotherEcole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE);France
dc.contributor.editoruniversityotherLaboratoire d'analyse et probabilités Université d'Evry-Val d'Essonne : EA2172;France
dc.description.abstractenWe study the discrete-time approximation for solutions of quadratic forward back- ward stochastic differential equations (FBSDEs) driven by a Brownian motion and a jump process which could be dependent. Assuming that the generator has a quadratic growth w.r.t. the variable z and the terminal condition is bounded, we prove the convergence of the scheme when the number of time steps n goes to infinity. Our approach is based on the companion paper [15] and allows to get a convergence rate similar to that of schemes of Brownian FBSDEs.en
dc.publisher.nameUniversité Paris-Dauphineen

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