Author(s)

Liangliang Zhang

NatWest Markets, Stamford, CT, USA.

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.

Backward Stochastic Differential Equation with Jumps, Jump Diffusion, Clus-tering, Weak Convergence

Zhang, L. (2020) A Clustering Method to Solve Backward Stochastic Differential Equations with Jumps. Journal of Mathematical Finance, 10, 1-9. doi: 10.4236/jmf.2020.101001.