Numerical approximation of Backward Stochastic Differential Equations with Jumps
Year: 2014
Type: article
Abstract: . In this note we propose a numerical method to approximate the solution of a Backward Stochastic Differential Equations with Jumps (BS-DEJ). This method is based on the construction of a discrete BSDEJ driven by a complete system of three orthogonal discrete time-space martingales, the first a random walk converging to a Brownian motion; the second, another random walk, independent of the first one, converging to a Poisson process. The solution of this discrete BSDEJ is shown to weakly converge to the solution of the continuous time BSDEJ. An application to partial integro-differential equations is given.
Institutions: Institut Élie Cartan de Lorraine, Université de Lorraine
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1538317075