Discrete-time approximation of decoupled Forward-Backward SDE with jumps

Stochastic Processes and their Applications

Volumn 118, Issue 1, 2008, Pages 53-75

  Bouchard, Bruno ^a,b   Elie, Romuald ^a,b  

^a CNRS   (France)

^b CREST   (France)

Author keywords

Discrete time approximation; Forward Backward SDEs with jumps; Malliavin calculus

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; FUNCTION EVALUATION;

DISCRETE TIME APPROXIMATION; FORWARD BACKWARD SDES WITH JUMPS; MALLIAVIN CALCULUS;

DIFFERENTIAL EQUATIONS;

EID: 36248975608     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.03.010     Document Type: Article

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