A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance

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Publication:2301492

DOI10.1016/j.spa.2019.05.013zbMath1471.60082arXiv1602.05793OpenAlexW2964201745MaRDI QIDQ2301492

Lucian Maticiuc, Luca Di Persio, Francesco Giuseppe Cordoni, Adrian Zalinescu

Publication date: 24 February 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.05793




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