2 papers
math.PR2025
Locally Lipschitz Path Dependent FBSDEs with Unbounded Terminal Conditions in Brownian and L{é}vy Settings
Hannah Geiss, Céline Labart, Adrien Richou +1
This paper is dedicated to the analysis of forward backward stochastic differential equations driven by a L{é}vy process. We assume that the generator and the terminal condition ar…
math.PR2024
Convergence rate for random walk approximations of mean field BSDEs
Boualem Djehiche, Hannah Geiss, Stefan Geiss +2
We study the rate of convergence w.r.t.~a Wasserstein type distance for random walk approximations of mean field BSDEs. Our method does not use the particle method but instead a fr…