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Discretisation of FBSDEs driven by càdlàg martingales

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Jump processes, Time-discretisation, Semimartingale, FBSDE, Galtchouck-Kunita-Watanabe decomposition, STOCHASTIC DIFFERENTIAL-EQUATIONS, DISCRETE-TIME APPROXIMATION, SIMULATION, JUMPS

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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.
@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},
}

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