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Discretisation of FBSDEs driven by càdlàg martingales

Asma Khedher and Michèle Vanmaele UGent (2016) JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS. 435(1). p.508-531
Please use this url to cite or link to this publication:
author
organization
alternative title
Discretisation of FBSDEs driven by cadlag martingales
year
type
journalArticle (original)
publication status
published
subject
keyword
Jump processes, Time-discretisation, Semimartingale, FBSDE, Galtchouck-Kunita-Watanabe decomposition, STOCHASTIC DIFFERENTIAL-EQUATIONS, DISCRETE-TIME APPROXIMATION, SIMULATION, JUMPS
journal title
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
J. Math. Anal. Appl.
volume
435
issue
1
pages
508 - 531
Web of Science type
Article
Web of Science id
000365928200031
JCR category
MATHEMATICS
JCR impact factor
1.064 (2016)
JCR rank
53/310 (2016)
JCR quartile
1 (2016)
ISSN
0022-247X
DOI
10.1016/j.jmaa.2015.10.022
language
English
UGent publication?
yes
classification
A1
copyright statement
I have transferred the copyright for this publication to the publisher
id
6997304
handle
http://hdl.handle.net/1854/LU-6997304
date created
2015-12-01 09:47:35
date last changed
2017-08-02 10:49:06
@article{6997304,
  author       = {Khedher, Asma and Vanmaele, Mich{\`e}le},
  issn         = {0022-247X},
  journal      = {JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS},
  keyword      = {Jump processes,Time-discretisation,Semimartingale,FBSDE,Galtchouck-Kunita-Watanabe decomposition,STOCHASTIC DIFFERENTIAL-EQUATIONS,DISCRETE-TIME APPROXIMATION,SIMULATION,JUMPS},
  language     = {eng},
  number       = {1},
  pages        = {508--531},
  title        = {Discretisation of FBSDEs driven by c{\`a}dl{\`a}g martingales},
  url          = {http://dx.doi.org/10.1016/j.jmaa.2015.10.022},
  volume       = {435},
  year         = {2016},
}

Chicago
Khedher, Asma, and Michèle Vanmaele. 2016. “Discretisation of FBSDEs Driven by Càdlàg Martingales.” Journal of Mathematical Analysis and Applications 435 (1): 508–531.
APA
Khedher, A., & Vanmaele, M. (2016). Discretisation of FBSDEs driven by càdlàg martingales. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 435(1), 508–531.
Vancouver
1.
Khedher A, Vanmaele M. Discretisation of FBSDEs driven by càdlàg martingales. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS. 2016;435(1):508–31.
MLA
Khedher, Asma, and Michèle Vanmaele. “Discretisation of FBSDEs Driven by Càdlàg Martingales.” JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS 435.1 (2016): 508–531. Print.