Numerical approximation of Backward Stochastic Differential Equations with Jumps - Inria - Institut national de recherche en sciences et technologies du numérique
Preprints, Working Papers, ... Year : 2007

Numerical approximation of Backward Stochastic Differential Equations with Jumps

Abstract

In this paper we propose a numerical method to approximate the solution of a Backward Stochastic Differential Equations with Jumps (BSDEJ). 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.
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Dates and versions

inria-00357992 , version 1 (02-02-2009)
inria-00357992 , version 2 (25-03-2010)
inria-00357992 , version 3 (09-09-2013)
inria-00357992 , version 4 (18-09-2014)

Identifiers

  • HAL Id : inria-00357992 , version 2

Cite

Antoine Lejay, Ernesto Mordecki, Soledad Torres. Numerical approximation of Backward Stochastic Differential Equations with Jumps. 2007. ⟨inria-00357992v2⟩
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