Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Masaaki Fujii, Akihiko Takahashi
| Year of publication: |
September 2015
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|---|---|
| Authors: | Fujii, Masaaki ; Takahashi, Akihiko |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 22.2015, 3, p. 283-304
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| Subject: | BSDE | FBSDE | Asymptotic expansion | Malliavin derivative | Interacting particle method | Branching diffusion | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-015-9201-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011524810