Numerical approximation of Backward Stochastic Differential Equations with Jumps

Unité de recherche INRIA Rennes : IRISA, Campus universitaire de Beaulieu - 35042 Rennes Cedex (France) Unité de recherche INRIA Rhône-Alpes : 655, avenue de l’Europe -

In the case p < m, the bound obtained for the numerical blow-up time is inferior to the estimate obtained for the blow-up time of the exact solution.. Properties of

Thanks to our result of invertibility of the Jacobian matrix of the flow, we can also prove (Theorem 2 in §4 ) that the process thus defined is a solution to a linear

Abstract. There are several ways of defining what it means for a path to solve a rough differential equation. The most commonly used notion is due to Davie; it involves a

In this paper, we will study some quadratic Backward Stochastic Differential Equations (BSDEs) in a continuous filtration which arise naturally in the problem of utility

Our results are proven under stronger conditions than for the Euler scheme because the use of stronger a priori estimates – Proposition 4.2 – is essential in the proof: one

Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion... Adaptive estimation of the stationary density of

In the last few years methods of finding almost everywhere solutions of partial differential equations of implicit type have been developed; the theory can be applied also to