Asymptotic expansion for forward-backward SDEs with jumps

DOI10.1080/17442508.2018.1521808zbMath1500.60031arXiv1510.03220OpenAlexW3125496590MaRDI QIDQ5086422

Akihiko Takahashi, Masaaki Fujii

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.03220

zbMATH Keywords

jumpsasymptotic expansionLévy processrandom measureBSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

Numerical methods for backward stochastic differential equations: a survey ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes ⋮ Optimal control of forward-backward stochastic jump-diffusion differential systems with observation noises: stochastic maximum principle ⋮ Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs

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