An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Q1627727): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach |
scientific article |
Statements
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (English)
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3 December 2018
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forward-backward stochastic differential equations (FBSDEs)
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asymptotic expansion
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Malliavin calculus
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CVA
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local volatility model
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stochastic volatility model
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