ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME

DOI10.1142/S0219024912500343zbMath1262.91159arXiv1106.0123OpenAlexW1999185821MaRDI QIDQ3166711

Akihiko Takahashi, Masaaki Fujii

Publication date: 15 October 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.0123

zbMATH Keywords

asymptotic expansionMalliavin derivativeBSDEnon-linear PDEFBSDEfour step schemeCVA

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cites Work

• Adapted solution of a backward stochastic differential equation
• An asymptotic expansion scheme for optimal investment problems
• An asymptotic expansion approach to pricing financial contingent claims
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Stochastic Differential Utility
• Backward Stochastic Differential Equations in Finance

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