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Persistent link: https://www.econbiz.de/10012545300
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....
Persistent link: https://www.econbiz.de/10012861231