A Forward-Backward SDEs Approach to Pricing in Carbon Markets

DOI10.1007/978-3-319-63115-8zbMath1375.91003OpenAlexW2755121597MaRDI QIDQ5349426

Mirabelle Muûls, Jean-François Chassagneux, Hinesh Chotai

Publication date: 24 August 2017

Full work available at URL: https://doi.org/10.1007/978-3-319-63115-8

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (3)

Numerical approximation of singular forward-backward SDEs ⋮ Analytical and numerical solutions to ergodic control problems arising in environmental management ⋮ Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games

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