Article
Licensed
Unlicensed
Requires Authentication
Discrete time approximation of BSDEs driven by a Lévy process
-
Mohamed El Otmani
Published/Copyright:
December 8, 2008
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
You are currently not able to access this content.
You are currently not able to access this content.
Articles in the same Issue
- Weak solutions for random nonlinear parabolic equations of nonlocal type
- A simplified version of Cochran's theorem in mixed linear models
- On a method for an effective calculation of optimal estimates in problems of a filtration of random processes for certain nonlinear evolution differential equations in a Hilbert space. Part 1
- A remark on some random fixed points of multivalued SL-random operators satisfying the nonstrict Opial's property and corrigendum to “Random fixed points of multivalued random operators with property (D)”
- Discrete time approximation of BSDEs driven by a Lévy process
- Transforming random operators into random bounded operators
- A remark on probability distributions and characteristic functionals for random functions of sets
Articles in the same Issue
- Weak solutions for random nonlinear parabolic equations of nonlocal type
- A simplified version of Cochran's theorem in mixed linear models
- On a method for an effective calculation of optimal estimates in problems of a filtration of random processes for certain nonlinear evolution differential equations in a Hilbert space. Part 1
- A remark on some random fixed points of multivalued SL-random operators satisfying the nonstrict Opial's property and corrigendum to “Random fixed points of multivalued random operators with property (D)”
- Discrete time approximation of BSDEs driven by a Lévy process
- Transforming random operators into random bounded operators
- A remark on probability distributions and characteristic functionals for random functions of sets