Search Results - subject:"non-linear PDE"

ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME

FUJII, MASAAKI; TAKAHASHI, AKIHIKO - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250034-1

framework following the so-called Four Step Scheme. The method is found to render the original non-linear PDE into a series of … analytic solution for the non-linear PDE by applying the asymptotic expansion to the corresponding probabilistic model. Two …

Persistent link: https://www.econbiz.de/10010562368

Analytical approximation for non-linear FBSDEs with perturbation scheme

Fujii, Masaaki; Takahashi, Akihiko - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10009672609

A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options

Labart, Céline; Lelong, Jérôme - HAL - 2011

We present a parallel algorithm for solving backward stochastic differential equations (BSDEs in short) which are very useful theoretic tools to deal with many financial problems ranging from option pricing option to risk management. Our algorithm based on Gobet and Labart (2010) exploits the...

Persistent link: https://www.econbiz.de/10008854443