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

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.

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References in corpus (2)

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