Discretisation of FBSDEs driven by càdlàg martingales
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| Publication date | 2016 |
| Journal | Journal of Mathematical Analysis and Applications |
| Volume | Issue number | 435 | 1 |
| Pages (from-to) | 508-531 |
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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. |
| Document type | Article |
| Language | English |
| Published at |
https://doi.org/10.1016/j.jmaa.2015.10.022
(Final published version)
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