A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case

Lim, Thomas; Kharroubi, Idris

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

Type

Document de travail / Working paper

External document link

http://hal.archives-ouvertes.fr/hal-00757426

Date

2012

Publisher

Université Paris-Dauphine

Published in

Paris

Metadata

Show full item record

Author(s)

Lim, Thomas
Kharroubi, Idris

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 [15] and allows to get a convergence rate similar to that of schemes of Brownian FBSDEs.

Subjects / Keywords

decomposition in the reference filtration; progressive enlargement of filtrations; generator of quadratic growth; forward-backward SDE with a jump; Discrete-time approximation