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dc.contributor.authorKharroubi, Idris
dc.contributor.authorLim, Thomas
dc.date.accessioned2018-01-15T14:36:54Z
dc.date.available2018-01-15T14:36:54Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17338
dc.language.isoenen
dc.subjectDiscrete-time approximationen
dc.subjectforward-backward SDEen
dc.subjectLipschitz generatoren
dc.subjectprogressive enlargement of ltrationsen
dc.subjectdecomposition in the reference ltrationen
dc.subject.ddc515en
dc.titleA decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz caseen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe study the discrete-time approximation for solutions of forward-backward stochas- tic dierential equations (FBSDEs) with a jump. In this part, we study the case of Lipschitz generators, and we refer to the second part of this work [15] for the quadratic case. Our method is based on a result given in the companion paper [14] which allows to link a FBSDE with a jump with a recursive system of Brownian FBSDEs. Then we use the classical results on discretization of Brownian FBSDEs to approximate the recursive system of FBSDEs and we recombine these approximations to get a dis- cretization of the FBSDE with a jump. This approach allows to get a convergence rate similar to that of schemes for Brownian FBSDEs.en
dc.identifier.citationpages28en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-00576922en
dc.subject.ddclabelAnalyseen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2018-01-11T13:32:09Z
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