An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Q1627727): Difference between revisions

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Latest revision as of 12:49, 17 July 2024

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An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
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    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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