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Generalized BSDE driven by a Lévy process.

El Otmani, Mohamed — 2006

Journal of Applied Mathematics and Stochastic Analysis

Approximation scheme for solutions of backward stochastic differential equations via the representation theorem

Mohamed El Otmani — 2006

Annales mathématiques Blaise Pascal

We are interested in the approximation and simulation of solutions for the backward stochastic differential equations. We suggest two approximation schemes, and we study the $𝕃^{2}$ induced error.

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