Perturbative expansion technique for non-linear FBSDEs with interacting particle method
From MaRDI portal
Publication:2013321
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
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)
Related Items (9)
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach ⋮ Counterparty risk and funding: immersion and beyond ⋮ Asymptotic Expansion Approach in Finance ⋮ Asymptotic expansion for forward-backward SDEs with jumps ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets ⋮ Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions ⋮ Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing ⋮ Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- 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
- Forward-backward stochastic differential equations and their applications
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- On validity of the asymptotic expansion approach in contingent claim analysis
- An FBSDE approach to American option pricing with an interacting particle method
- A forward scheme for backward SDEs
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Branching Markov processes. I
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Sequential Monte Carlo Methods in Practice
- Solving BSDE with Adaptive Control Variate
- ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
- Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov
- Backward Stochastic Differential Equations in Finance
- A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD
- Fundamental equations of branching Markov processes
- Probabilistic Treatment of the Blowing up of Solutions for a Nonlinear Integral Equation
- On branching Markov processes
- Credit risk: Modelling, valuation and hedging
This page was built for publication: Perturbative expansion technique for non-linear FBSDEs with interacting particle method
