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Path regularity and explicit convergence rate for BSDE with truncated quadratic growth · Study

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ArticlePath regularity and explicit convergence rate for BSDE with truncated quadratic growth

Peter Imkeller2009

OA

Articlebronze2009

Path regularity and explicit convergence rate for BSDE with truncated quadratic growth

Peter Imkeller · Gonçalo dos Reis

64 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

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References

2006The Malliavin Calculus and Related Topics 1997Backward Stochastic Differential Equations in Finance 1995The Malliavin Calculus and Related Topics 1998Stochastic Flows and Stochastic Differential Equations 2000Backward stochastic differential equations and partial differential equations with quadratic growth 1997THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications)2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations 1994Continuous Exponential Martingales and BMO

Cited by

2016Numerical simulation of quadratic BSDEs 2012Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition 2016Malliavin calculus for backward stochastic differential equations and application to numerical solutions 2011Numerical simulation of BSDEs with drivers of quadratic growth 2011Malliavin calculus for backward stochastic differential equations and application to numerical solutions

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2007Classical and Variational Differentiability of BSDEs with Quadratic Growtharticle · 8 shared references 2012Markovian quadratic and superquadratic BSDEs with an unbounded terminal conditionarticle · 7 shared references 2010PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGSarticle · 7 shared references 2006Error expansion for the discretization of backward stochastic differential equationsarticle · 6 shared references 2016Numerical simulation of quadratic BSDEsarticle · 6 shared references 2016Malliavin calculus for backward stochastic differential equations and application to numerical solutionspreprint · 6 shared references

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Year2009

Typearticle

Published2009-11-27

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations64

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2009.11.004

openalex_workW2104540101

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