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A BSDE-based approach for the optimal reinsurance problem under partial information
Brachetta, M.; Ceci, C. - In: Insurance 95 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012419211
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Non-linear filtering and optimal investment under partial information for stochastic volatility models
Ibrahim, Dalia; Abergel, Frédérik - In: Mathematical methods of operations research 87 (2018) 3, pp. 311-346
Persistent link: https://www.econbiz.de/10011874006
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Indifference fee rate for variable annuities
Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo - In: Applied mathematical finance 23 (2016) 3/4, pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
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Max-min optimization problem for variable annuities pricing
Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-35
Persistent link: https://www.econbiz.de/10011419373
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021
Persistent link: https://www.econbiz.de/10012813680
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Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement
Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea - In: European journal of operational research : EJOR 274 (2019) 2, pp. 788-805
Persistent link: https://www.econbiz.de/10011990226
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An acceleration scheme for deep learning-based BSDE solver using weak expansions
Naito, Riu; Yamada, Toshihiro - In: International journal of financial engineering 7 (2020) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10012602946
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - This version : August 10, 2021
Persistent link: https://www.econbiz.de/10012616192
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Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"
Saito, Taiga; Takahashi, Akihiko - 2021
Persistent link: https://www.econbiz.de/10012616241
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - Revised in August, November 2021, January and February 2022
Persistent link: https://www.econbiz.de/10013335002