A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case
Date
2011Collection title
Cahier de recherche CEREMADE, Université Paris-DauphineLink to item file
https://hal.archives-ouvertes.fr/hal-00576922Dewey
AnalyseSujet
Discrete-time approximation; forward-backward SDE; Lipschitz generator; progressive enlargement of ltrations; decomposition in the reference ltrationCollections
Metadata
Show full item recordAuthor
Kharroubi, Idris
Lim, Thomas