{"paper":{"title":"A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.AP","authors_text":"CEREMADE), Idris Kharroubi (CREST, Thomas Lim (ENSIIE)","submitted_at":"2011-03-15T20:39:22Z","abstract_excerpt":"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 generators, and we refer to the second part of this work [15] for the quadratic case. Our method is based on a result given in the companion paper [14] which allows to link a FBSDE with a jump with a recursive system of Brownian FBSDEs. Then we use the classical results on discretization of Brownian FBSDEs to approximate the recursive system of FBSDEs and we recombine these approximations to get a dis- cretization of the"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1103.3029","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}