Perturbative expansion technique for non-linear FBSDEs with interacting particle method

DOI10.1007/s10690-015-9201-7zbMath1368.65009arXiv1204.2638OpenAlexW3125896846MaRDI QIDQ2013321

Akihiko Takahashi, Masaaki Fujii

Publication date: 17 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.2638

zbMATH Keywords

asymptotic expansionMalliavin derivativeBSDEFBSDEbranching diffusioninteracting particle method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stochastic particle methods (65C35)

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