Analytical Approximations of BSDEs with Nonsmooth Driver (Q3195111): Difference between revisions

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+Density estimates for solutions to one dimensional backward SDE's
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+Densities of one-dimensional backward SDEs
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+A forward scheme for backward SDEs
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+Asymptotic and non asymptotic approximations for option valuation
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+Mean field forward-backward stochastic differential equations
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+Backward Stochastic Differential Equations in Finance
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+ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
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+Malliavin calculus for backward stochastic differential equations and application to numerical solutions
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+EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS
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+Martingale methods in financial modelling.
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+Expansions asymptotiques pour équations paraboliques dégénérées
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+Stochastic differential equations, backward SDEs, partial differential equations
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+https://doi.org/10.1137/14100021x
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+W3124957480
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+Publication:3195111