ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME (Q3166711)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME |
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ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME (English)
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15 October 2012
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BSDE
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FBSDE
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four step scheme
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asymptotic expansion
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Malliavin derivative
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non-linear PDE
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CVA
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