13 citations · 34 across the 8 of their papers we have counts for
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math.AP2011★ 1 cited
A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case
Idris Kharroubi, Thomas Lim
We study the discrete-time approximation for solutions of forward-backward stochas- tic dierential equations (FBSDEs) with a jump. In this part, we study the case of Lipschitz gene…
math.OC2011★ 10 cited
Progressive enlargement of filtrations and Backward SDEs with jumps
Idris Kharroubi, Thomas Lim
This work deals with backward stochastic differential equation (BSDE) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Bro…