2 papers
math.PR2022
A deep solver for BSDEs with jumps
Kristoffer Andersson, Alessandro Gnoatto, Marco Patacca +1
The aim of this work is to propose an extension of the deep solver by Han, Jentzen, E (2018) to the case of forward backward stochastic differential equations (FBSDEs) with jumps.…
math.PR2021
A change of measure formula for recursive conditional expectations
Luca Di Persio, Alessandro Gnoatto, Marco Patacca
In this paper, we derive a representation for the value process associated to the solutions of FBSDEs in a jump-diffusion setting under multiple probability measures. Motivated by…