Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
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Publication:1999911
DOI10.1016/J.SPA.2018.05.009zbMath1426.60072arXiv1606.04285OpenAlexW2962716160MaRDI QIDQ1999911
Masaaki Fujii, Akihiko Takahashi
Publication date: 27 June 2019
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.04285
Related Items (5)
A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver ⋮ Asymptotic expansion for forward-backward SDEs with jumps ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus ⋮ Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
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