scientific article

zbMath1010.60055MaRDI QIDQ3150294

Toshiyuki Nakayama

Publication date: 15 May 2003

Full work available at URL: http://journal.ms.u-tokyo.ac.jp/pdf/jms090202.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

backward stochastic differential equationsdiscrete time approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Convergence of probability measures (60B10) Stochastic integral equations (60H20)

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Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing

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