Asymptotic expansion for forward-backward SDEs with jumps (Q5086422): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(4 intermediate revisions by 4 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3125496590 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1510.03220 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lévy Processes and Stochastic Calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and integral-partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A forward scheme for backward SDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3996311 / 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 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: Q5169724 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison / 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: Contract theory in continuous-time models / 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: On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Hellinger type distances for filtered experiments / 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: Q3550821 / 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: A polynomial scheme of asymptotic expansion for backward SDEs and option pricing / 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: Perturbative expansion technique for non-linear FBSDEs with interacting particle method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5653395 / 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: On the Starting and Stopping Problem: Application in Reversible Investments / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4274285 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3860572 / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5322841 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3995465 / 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: Backward Stochastic PDE and Imperfect Hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem / 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: Q4029028 / 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: Malliavin calculus in Lévy spaces and applications to finance. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDEs with jumps, optimization and applications to dynamic risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations with jumps and related nonlinear expectations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Expansion Approach in Finance / 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: Optimal stochastic control, stochastic target problems, and backward SDE. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A numerical scheme for BSDEs / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 13:01, 29 July 2024

scientific article; zbMATH DE number 7553362
Language Label Description Also known as
English
Asymptotic expansion for forward-backward SDEs with jumps
scientific article; zbMATH DE number 7553362

    Statements

    Asymptotic expansion for forward-backward SDEs with jumps (English)
    0 references
    0 references
    0 references
    0 references
    5 July 2022
    0 references
    BSDE
    0 references
    jumps
    0 references
    random measure
    0 references
    asymptotic expansion
    0 references
    Lévy process
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers