ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
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Publication:3166711
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
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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