Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver

DOI10.1016/j.spa.2015.11.013zbMath1335.60132arXiv1406.7145OpenAlexW2184249430MaRDI QIDQ265658

Mitja Stadje, Dilip B. Madan, Martijn R. Pistorius

Publication date: 4 April 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.7145

zbMATH Keywords

weak convergencerandom walksbackward stochastic differential equationsLévy processPoisson random measurebackward stochastic difference equationsinfinite jump-activity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random measures (60G57) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic difference equations (39A50)

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