Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions (Q1999911): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2962716160 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1606.04285 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Classical and variational differentiability of BSDEs with quadratic growth / rank
 
Normal rank
Property / cites work
 
Property / cites work: A quantization algorithm for solving multidimensional discrete-time optimal stopping problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: High dimensional polynomial interpolation on sparse grids / rank
 
Normal rank
Property / cites work
 
Property / cites work: A forward scheme for backward SDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Least-Squares Monte Carlo for Backward SDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conjugate convex functions in optimal stochastic control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximation for continuously and discretely reflected BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximation of decoupled Forward-Backward SDE with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(L^p\) solutions of backward stochastic differential equations. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Counterparty Credit Risk, Collateral and Funding / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical simulation of quadratic BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5169724 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Counterparty risk and funding: immersion and beyond / rank
 
Normal rank
Property / cites work
 
Property / cites work: Second order discretization of backward SDEs and simulation with the cubature method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Contract theory in continuous-time models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A forward-backward stochastic algorithm for quasi-linear PDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: An interpolated stochastic algorithm for quasi-linear PDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4344073 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME / rank
 
Normal rank
Property / cites work
 
Property / cites work: Momentum-space approach to asymptotic expansion for stochastic filtering / rank
 
Normal rank
Property / cites work
 
Property / cites work: Perturbative expansion technique for non-linear FBSDEs with interacting particle method / rank
 
Normal rank
Property / cites work
 
Property / cites work: A regression-based Monte Carlo method to solve backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Path regularity and explicit convergence rate for BSDE with truncated quadratic growth / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous exponential martingales and BMO / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and partial differential equations with quadratic growth. / rank
 
Normal rank
Property / cites work
 
Property / cites work: On validity of the asymptotic expansion approach in contingent claim analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving forward-backward stochastic differential equations explicitly -- a four step scheme / rank
 
Normal rank
Property / cites work
 
Property / cites work: Representation theorems for backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adapted solution of a backward stochastic differential equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations, backward SDEs, partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Polynomial interpolation of minimal degree / rank
 
Normal rank
Property / cites work
 
Property / cites work: An asymptotic expansion approach to pricing financial contingent claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: A weak approximation with asymptotic expansion and multidimensional Malliavin weights / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A numerical scheme for BSDEs / rank
 
Normal rank

Revision as of 17:12, 19 July 2024

scientific article
Language Label Description Also known as
English
Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
scientific article

    Statements

    Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions (English)
    0 references
    0 references
    0 references
    27 June 2019
    0 references
    asymptotic expansion
    0 references
    discretization
    0 references
    quadratic-growth BSDEs
    0 references
    0 references
    0 references
    0 references

    Identifiers