22 citations · 22 across the 2 of their papers we have counts for
2 papers
math.OC2012
A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case
Idris Kharroubi, Thomas Lim
We study the discrete-time approximation for solutions of quadratic forward back- ward stochastic differential equations (FBSDEs) driven by a Brownian motion and a jump process whi…
math.PR2012★ 22 cited
Discrete-time approximation of multidimensional BSDEs with oblique reflections
Jean-Francois Chassagneux, Romuald Elie, Idris Kharroubi
In this paper, we study the discrete-time approximation of multidimensional reflected BSDEs of the type of those presented by Hu and Tang [Probab. Theory Related Fields 147 (2010)…