Pages that link to "Item:Q2469490"

The following pages link to Discrete-time approximation of decoupled Forward-Backward SDE with jumps (Q2469490):

Displaying 50 items.

• Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
• \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions (Q265284) (← links)
• Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver (Q265658) (← links)
• Simulation of BSDEs with jumps by Wiener chaos expansion (Q271886) (← links)
• Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles (Q281870) (← links)
• Euler time discretization of backward doubly SDEs and application to semilinear SPDEs (Q338206) (← links)
• A stochastic maximum principle in mean-field optimal control problems for jump diffusions (Q375182) (← links)
• Stochastic differential utility as the continuous-time limit of recursive utility (Q402100) (← links)
• Discrete-time approximation of multidimensional BSDEs with oblique reflections (Q433900) (← links)
• On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance. (Q464722) (← links)
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models (Q503350) (← links)
• Strong approximations of BSDEs in a domain (Q605887) (← links)
• Near optimality conditions in stochastic control of jump diffusion processes (Q647642) (← links)
• On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem (Q691358) (← links)
• Model risk and discretisation of locally risk-minimising strategies (Q730515) (← links)
• Discretisation of FBSDEs driven by càdlàg martingales (Q892339) (← links)
• Efficient numerical Fourier methods for coupled forward-backward SDEs (Q898981) (← links)
• Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles (Q898999) (← links)
• Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps (Q901242) (← links)
• Smart expansion and fast calibration for jump diffusions (Q964692) (← links)
• On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018) (← links)
• Probabilistic representation and approximation for coupled systems of variational inequalities (Q988112) (← links)
• On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures (Q988681) (← links)
• Backward nonlinear expectation equations (Q1702883) (← links)
• On neutral impulsive stochastic differential equations with Poisson jumps (Q1713535) (← links)
• The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem (Q1717510) (← links)
• Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions (Q1999911) (← links)
• Numerical methods for a class of nonlocal diffusion problems with the use of backward SDEs (Q2007289) (← links)
• Multistep schemes for forward backward stochastic differential equations with jumps (Q2014031) (← links)
• Deep learning schemes for parabolic nonlocal integro-differential equations (Q2098092) (← links)
• Convolutional neural network based simulation and analysis for backward stochastic partial differential equations (Q2159857) (← links)
• Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem (Q2354571) (← links)
• Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps (Q2354898) (← links)
• Feynman-Kac representation of fully nonlinear PDEs and applications (Q2355853) (← links)
• Runge-Kutta schemes for backward stochastic differential equations (Q2448693) (← links)
• Pricing and hedging of variable annuities with state-dependent fees (Q2513614) (← links)
• A decomposition approach for the discrete-time approximation of FBSDEs with a jump (Q2516016) (← links)
• Discrete-time approximation for continuously and discretely reflected BSDEs (Q2518617) (← links)
• Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lévy processes (Q2856036) (← links)
• Option hedging by an influential informed investor (Q2862441) (← links)
• Least-Squares Monte Carlo for Backward SDEs (Q2917434) (← links)
• Swing Options Valuation: A BSDE with Constrained Jumps Approach (Q2917441) (← links)
• Partially informed investors: hedging in an incomplete market with default (Q3449928) (← links)
• A discrete-time approximation for doubly reflected BSDEs (Q3625648) (← links)
• A stochastic target formulation for optimal switching problems in finite horizon (Q3630058) (← links)
• OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL (Q4563743) (← links)
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes (Q4619493) (← links)
• Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model (Q4981886) (← links)
• European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty (Q5038294) (← links)
• Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps (Q5056555) (← links)