Download This PaperA Clustering Method to Solve Backward Stochastic Differential Equations with Jumps
11 Pages Posted: 23 Oct 2019
Date Written: October 13, 2019
Abstract
In this paper, we introduce a clustering method to approximate the solution to a general Backward Stochastic Differential Equation with Jumps (BSDEJ). We show the convergence of the sequence of approximate solutions to the true one. The method is implemented for an application in finance. Numerical results show that the method is efficient.
Keywords: Backward Stochastic Differential Equation with Jumps, Jump Diffusion, Clustering, Weak Convergence
Suggested Citation: Suggested Citation
Zhang, Liangliang, A Clustering Method to Solve Backward Stochastic Differential Equations with Jumps (October 13, 2019). Available at SSRN: https://ssrn.com/abstract=3469294 or http://dx.doi.org/10.2139/ssrn.3469294
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