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Analytical Approximation for Non-Linear FBSDEs with Perturbation Scheme · Study

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PreprintAnalytical Approximation for Non-Linear FBSDEs with Perturbation Scheme

Masaaki Fujii2011

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Preprintgreen2011

Analytical Approximation for Non-Linear FBSDEs with Perturbation Scheme

Masaaki Fujii · Akihiko Takahashi

16 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Economic theories and models Fuzzy Systems and Optimization

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References

1990Adapted solution of a backward stochastic differential equation 1999Stochastic Controls 1997Backward Stochastic Differential Equations in Finance 1992Stochastic Differential Utility 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme 2007Forward-Backward Stochastic Differential Equations and their Applications 1996Swap Rates and Credit Quality 2005A regression-based Monte Carlo method to solve backward stochastic differential equations

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2018Asymptotic expansion for forward-backward SDEs with jumps

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2012ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEMEarticle · 11 shared references 2012Perturbative Expansion Technique for Non-Linear FBSDEs With Interacting Particle Methodpreprint · 9 shared references 2007Chapter 19 Dynamic Portfolio Choice and Risk Aversionchapter · 7 shared references 2006Dynamic Portfolio Choice and Risk Aversionpreprint · 6 shared references 2015Asymptotic Expansion Approach in Financechapter · 6 shared references 2016Backward-forward linear-quadratic mean-field games with major and minor agentsarticle · 6 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1856444

openalex_workW2147054801

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