Results on Numerics for FBSDE with Drivers of Quadratic Growth

DOI10.1007/978-3-642-03479-4_9zbMath1236.60068arXiv1004.2248OpenAlexW2146095861MaRDI QIDQ3000882

Gonçalo dos Reis, Peter Imkeller, Jianing Zhang

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.2248

zbMATH Keywords

forward-backward stochastic differential equationsconvergence analyis for numerical methodsexponential Cole-Hopf transformationpricing and hedging of derivatives on non-tradable underlyingsquadratic growth driverstruncation of the driverutility indifference approach

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (12)

Least-Squares Monte Carlo for Backward SDEs ⋮ Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ On Z-mean reflected BSDEs ⋮ Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations ⋮ An overview on deep learning-based approximation methods for partial differential equations ⋮ Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition ⋮ Numerical simulation of BSDEs with drivers of quadratic growth ⋮ The Skorokhod embedding problem for inhomogeneous diffusions ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs ⋮ Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting ⋮ Numerical simulation of quadratic BSDEs

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