79 citations · 228 across the 17 of their papers we have counts for
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math.PR2008★ 31 cited
Stochastic calculus for convoluted Lévy processes
Christian Bender, Tina Marquardt
We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation Lévy process with a Volterra-type kernel. This class of processes contai…
math.PR2008★ 79 cited
Time discretization and Markovian iteration for coupled FBSDEs
Christian Bender, Jianfeng Zhang
In this paper we lay the foundation for a numerical algorithm to simulate high-dimensional coupled FBSDEs under weak coupling or monotonicity conditions. In particular, we prove co…