Bouchard, Bruno; Elie, Romuald - In: Stochastic Processes and their Applications 118 (2008) 1, pp. 53-75
We study a discrete-time approximation for solutions of systems of decoupled Forward-Backward Stochastic Differential Equations (FBSDEs) with jumps. Assuming that the coefficients are Lipschitz-continuous, we prove the convergence of the scheme when the number of time steps n goes to infinity....