Discrete-time approximation of decoupled Forward-Backward SDE with jumps
From MaRDI portal
Publication:2469490
DOI10.1016/j.spa.2007.03.010zbMath1136.60048OpenAlexW2171894719MaRDI QIDQ2469490
Publication date: 6 February 2008
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2007.03.010
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (66)
\(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions ⋮ Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver ⋮ Simulation of BSDEs with jumps by Wiener chaos expansion ⋮ European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty ⋮ A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles ⋮ Partially informed investors: hedging in an incomplete market with default ⋮ Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps ⋮ Least-Squares Monte Carlo for Backward SDEs ⋮ Swing Options Valuation: A BSDE with Constrained Jumps Approach ⋮ Euler time discretization of backward doubly SDEs and application to semilinear SPDEs ⋮ Convolutional neural network based simulation and analysis for backward stochastic partial differential equations ⋮ OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL ⋮ An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations ⋮ Asymptotic expansion for forward-backward SDEs with jumps ⋮ A stochastic maximum principle in mean-field optimal control problems for jump diffusions ⋮ Strong approximations of BSDEs in a domain ⋮ Existence and Stability Results of Impulsive Stochastic Partial Neutral Functional Differential Equations with Infinite Delays and Poisson Jumps ⋮ Stochastic differential utility as the continuous-time limit of recursive utility ⋮ Discretisation of FBSDEs driven by càdlàg martingales ⋮ A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets ⋮ Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions ⋮ A Probabilistic Scheme for Semilinear Nonlocal Diffusion Equations with Volume Constraints ⋮ Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations ⋮ The Kolmogorov infinite dimensional equation in a Hilbert space via deep learning methods ⋮ Efficient numerical Fourier methods for coupled forward-backward SDEs ⋮ Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles ⋮ RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ Backward nonlinear expectation equations ⋮ Discrete-time approximation of multidimensional BSDEs with oblique reflections ⋮ Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps ⋮ On neutral impulsive stochastic differential equations with Poisson jumps ⋮ Near optimality conditions in stochastic control of jump diffusion processes ⋮ Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes ⋮ The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem ⋮ On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance. ⋮ Runge-Kutta schemes for backward stochastic differential equations ⋮ Quadratic hedging in an incomplete market derived by an influential informed investor ⋮ On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem ⋮ Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions ⋮ Smart expansion and fast calibration for jump diffusions ⋮ Numerical methods for a class of nonlocal diffusion problems with the use of backward SDEs ⋮ Multistep schemes for forward backward stochastic differential equations with jumps ⋮ On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights ⋮ Probabilistic representation and approximation for coupled systems of variational inequalities ⋮ On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures ⋮ Model risk and discretisation of locally risk-minimising strategies ⋮ Pricing and hedging of variable annuities with state-dependent fees ⋮ OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION ⋮ Discrete-time approximation for continuously and discretely reflected BSDEs ⋮ A discrete-time approximation for doubly reflected BSDEs ⋮ A stochastic target formulation for optimal switching problems in finite horizon ⋮ Optimal Stopping Under Uncertainty in Drift and Jump Intensity ⋮ L2-regularity result for solutions of backward doubly stochastic differential equations ⋮ Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model ⋮ Discrete-Time Approximation of Decoupled Forward‒Backward Stochastic Differential Equations Driven by Pure Jump Lévy Processes ⋮ A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs ⋮ Deep learning schemes for parabolic nonlocal integro-differential equations ⋮ Option hedging by an influential informed investor ⋮ Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance ⋮ Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem ⋮ Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps ⋮ Feynman-Kac representation of fully nonlinear PDEs and applications
Cites Work
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Point processes and queues. Martingale dynamics
- Probabilistic interpretation of a system of semilinear parabolic partial differential equations
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- A numerical scheme for BSDEs
- Path regularity for solutions of backward stochastic differential equations
- Numerical method for backward stochastic differential equations
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Numerical methods for forward-backward stochastic differential equations
- Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
- Backward stochastic differential equations and integral-partial differential equations
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Backward Stochastic Differential Equations in Finance
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Discrete-time approximation of decoupled Forward-Backward SDE with jumps
