A Convergent Linear Regression Method for Forward-Backward Stochastic Differential Equations with Jumps
Computational Finance
2020-11-03 v4
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.
Keywords
Cite
@article{arxiv.1805.12105,
title = {A Convergent Linear Regression Method for Forward-Backward Stochastic Differential Equations with Jumps},
author = {Tingting Ye and Liangliang Zhang},
journal= {arXiv preprint arXiv:1805.12105},
year = {2020}
}
Comments
Potential Mistakes Found