Discretisation of FBSDEs driven by càdlàg martingales
| Authors |
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| Publication date |
2016
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| Journal |
Journal of Mathematical Analysis and Applications
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| Volume | Issue number |
435 | 1
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| Pages (from-to) |
508-531
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| Organisations |
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Faculty of Science (FNWI) - Korteweg-de Vries Institute for Mathematics (KdVI)
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| Abstract |
We study the discretisation of forward backward stochastic differential equations (FBSDEs) driven by càdlàg martingales. We prove that under certain conditions imposed on the parameters of the FBSDE the time-discrete scheme we consider converges to the time-continuous equation in the L2L2-sense. Moreover, we show that the L2L2-norm of the error is of the order of the time step.
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| Document type |
Article
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| Language |
English
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| Published at |
https://doi.org/10.1016/j.jmaa.2015.10.022
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