Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
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Publication:4967860
DOI10.1051/proc/201965001zbMath1455.65013OpenAlexW2789982682MaRDI QIDQ4967860
F. Noubiagain, Stefano De Marco, José G. López-Salas, Emmanuel Gobet, Ankush Agarwal, Alexandre Zhou
Publication date: 11 July 2019
Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/proc/201965001
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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