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Discrete time approximation of BSDEs driven by a Lévy process

  • Mohamed El Otmani
Published/Copyright: December 8, 2008
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Random Operators and Stochastic Equations
From the journal Volume 16 Issue 3

Abstract

In this paper, we are interested in discrete time approximation for the forward-backward stochastic differential equations driven by a Lévy process. We suggest an approximation scheme and we study the induced error for the L2-norm.

Received: 2008-02-02
Published Online: 2008-12-08
Published in Print: 2008-November

© de Gruyter 2008

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