A decomposition approach for the discrete-time approximation of FBSDEs with a jump I: the Lipschitz case
نویسندگان
چکیده
We are concerned with the discretization of a solution of a Forward-Backward stochastic differential equation (FBSDE) with a jump process depending on the Brownian motion. In this part, we study the case of Lipschitz generators, and we refer to the second part of this work [11] for the quadratic case. We propose a recursive scheme based on a general existence result given in the companion paper [10] and we study the error induced by the time discretization. The L2-norm of the error is shown to be of the order of the square root of the time step. This generalizes the results for Brownian FBSDEs.
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A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case
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