A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case
Lim, Thomas; Kharroubi, Idris (2012), A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case. https://basepub.dauphine.fr/handle/123456789/10651
TypeDocument de travail / Working paper
External document linkhttp://hal.archives-ouvertes.fr/hal-00757426
MetadataShow full item record
Abstract (EN)We 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  and allows to get a convergence rate similar to that of schemes of Brownian FBSDEs.
Subjects / Keywordsdecomposition in the reference filtration; progressive enlargement of filtrations; generator of quadratic growth; forward-backward SDE with a jump; Discrete-time approximation
Showing items related by title and author.