paper

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

arXiv:1805.12105

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.

Potential Mistakes Found

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