ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
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DOI: 10.1142/S0219024912500343
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- Hu, Ying & Yong, Jiongmin, 2000. "Forward-backward stochastic differential equations with nonsmooth coefficients," Stochastic Processes and their Applications, Elsevier, vol. 87(1), pages 93-106, May.
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Keywords
BSDE; FBSDE; four step scheme; asymptotic expansion; Malliavin derivative; non-linear PDE; CVA;All these keywords.
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