A Convergent Linear Regression Method for Forward-Backward Stochastic Differential Equations with Jumps

Tingting Ye and Liangliang Zhang

Papers from arXiv.org

Abstract: In this paper, we introduce a large class of convergent numerical methods, based on (linear) basis function regression technique, to approximate the solution to a forward-backward stochastic differential equation with jumps (FBSDEJ hereafter). Numerical experiment shows good applicability of the proposed method.

Date: 2018-05, Revised 2020-11
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1805.12105 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1805.12105

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().