Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10011619975
Persistent link: https://www.econbiz.de/10014383870
Persistent link: https://www.econbiz.de/10012813680
Persistent link: https://www.econbiz.de/10012616192
Persistent link: https://www.econbiz.de/10012616241
This article proposes a new approximation scheme for quadratic-growth BSDEs in a Markovian setting by connecting a series of semi-analytic asymptotic expansions applied to short-time intervals. Although there remains a condition which needs to be checked a posteriori, one can avoid altogether...
Persistent link: https://www.econbiz.de/10012936018
Persistent link: https://www.econbiz.de/10013335002
Persistent link: https://www.econbiz.de/10013335007