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arXiv · 1211.6231

A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case

Idris Kharroubi·Thomas Lim
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Abstract

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.

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Idris Kharroubi, Thomas Lim. 2012-11-27. A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case. https://arxiv.org/abs/1211.6231

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