Analytical Approximations of BSDEs with Nonsmooth Driver

DOI10.1137/14100021XzbMath1326.65019OpenAlexW3124957480MaRDI QIDQ3195111

Emmanuel Gobet, Stefano Pagliarani

Publication date: 21 October 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/14100021x

zbMATH Keywords

asymptotic expansionbackward stochastic differential equationanalytical approximationnumerical testfinancial applicationsmall nonlinearityfunding value adjustmentinterest rates pricing problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Solvability of forward–backward stochastic difference equations with finite states ⋮ Counterparty risk and funding: immersion and beyond ⋮ Binary funding impacts in derivative valuation ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering ⋮ XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS ⋮ Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements ⋮ A Numerical Scheme for the Quantile Hedging Problem ⋮ Central Clearing Valuation Adjustment

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