A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case
type: Dataset
description: We study the discrete-time approximation for solutions of quadratic forward back- ward stochastic differential equations (FBSDEs) driven by a Brownian motion and a jump process which could be dependent. Assuming that the generator has a quadratic growth w.r.t. the variable z and the terminal condition is bounded, we prove the convergence of the scheme when the number of time steps n goes to infinity. Our approach is based on the companion paper [15] and allows to get a convergence rate similar to that of schemes of Brownian FBSDEs.
issued: 2026-06-04T01:32:08.759966
language: en
modified: 2026-06-04T01:32:08.759972
contact point: Organization
  fn: CCSD
keyword: 65c99-60j75-60g57
keyword: decomposition-in-the-reference-filtration
keyword: discrete-time-approximation
keyword: forward-backward-sde-with-a-jump
keyword: generator-of-quadratic-growth
keyword: infoeu-reposemanticspreprint
keyword: mathmath-ocmathematics-mathoptimization-and-control-mathoc
keyword: preprints-working-papers-
keyword: progressive-enlargement-of-filtrations
landing page: https://hal.science/hal-00757426

A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case
type: Distribution
format: HTML
issued: 2026-06-04T01:32:08.874192
modified: 2026-06-04T01:32:08.714051
access URL: https://hal.science/hal-00757426

test_moissonnage_selune
type: Agent