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We consider the simulation of a system of decoupled forward-backwardstochastic differential equations (FBSDEs) driven by a pure jump L\'evy process$L$ and an independent Brownian motion $B$. We allow the L\'evy process $L$ tohave an infinite jump activity. Therefore, it is necessary for the simulationto employ a finite approximation of its L\'evy measure. We use the generalizedshot noise series representation method by Rosinski (2001) to approximate thedriving L\'evy process $L$. We compute the $L^p$ error, $p\ge2$, between thetrue and the approximated FBSDEs which arises from the finite truncation of theshot noise series (given sufficient conditions for existence and uniqueness ofthe FBSDE). We also derive the $L^p$ error between the true solution and thediscretization of the approximated FBSDE using an appropriate backward Eulerscheme.

Approximation and Error Analysis of Forward-Backward SDEs driven by General L\'evy Processes using Shot Noise Series Representations