IDEAS home Printed from https://ideas.repec.org/p/tky/fseres/2018cf1086.html

Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions

Author

Listed:
  • Masaaki Fujii

    (Faculty of Economics, The University of Tokyo)

  • Akihiko Takahashi

    (Faculty of Economics, The University of Tokyo)

Abstract

This article proposes a new approximation scheme for quadratic-growth BSDEs in a Markovian setting by connecting a series of semi-analytic asymptotic expansions applied to short-time intervals. Although there remains a condition which needs to be checked a posteriori, one can avoid altogether time-consuming Monte Carlo simulation and other numerical integrations for estimating conditional expectations at each space-time node. Numerical examples of quadratic-growth as well as Lipschitz BSDEs suggest that the scheme works well even for large quadratic coefficients, and a fortiori for large Lipschitz constants.

Suggested Citation

  • Masaaki Fujii & Akihiko Takahashi, 2018. "Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions," CIRJE F-Series CIRJE-F-1086, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2018cf1086
    as

    Download full text from publisher

    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2018/2018cf1086.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Barry Eichengreen & Donghyun Park & Kwanho Shin, 2012. "When Fast-Growing Economies Slow Down: International Evidence and Implications for China," Asian Economic Papers, MIT Press, vol. 11(1), pages 42-87, Winter/Sp.
    2. David Bulman & Maya Eden & Ha Nguyen, 2017. "Transitioning from low-income growth to high-income growth: is there a middle-income trap?," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 22(1), pages 5-28, January.
    3. Fernando Gabriel Im & David Rosenblatt, 2015. "Middle-Income Traps: A Conceptual and Empirical Survey," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-39.
    4. repec:wbk:wbpubs:6798 is not listed on IDEAS
    5. Takatoshi Ito & Anne O. Krueger, 1999. "Changes in Exchange Rates in Rapidly Developing Countries: Theory, Practice, and Policy Issues," NBER Books, National Bureau of Economic Research, Inc, number ito_99-1.
    6. Okuno-Fujiwara, Masahiro & Okazaki, Tetsuji (ed.), 1999. "The Japanese Economic System and its Historical Origins," OUP Catalogue, Oxford University Press, number 9780198289012.
    7. Kiyota, Kozo & Okazaki, Tetsuji, 2013. "Effects of Industrial Policy on Productivity: The Case of Import Quota Removal during Postwar Japan," PRIMCED Discussion Paper Series 48, Institute of Economic Research, Hitotsubashi University.
    8. Tetsuji Okazaki & Takafumi Korenaga, 1999. "The Foreign Exchange Allocation Policy in Postwar Japan: Its Institutional Framework and Function," NBER Chapters, in: Changes in Exchange Rates in Rapidly Developing Countries: Theory, Practice, and Policy Issues, pages 311-340, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Tetsuji Okazaki, 2017. "Development State Evolving: Japan’s Graduation from a Middle Income Country," CIRJE F-Series CIRJE-F-1063, CIRJE, Faculty of Economics, University of Tokyo.
    2. Tetsuji Okazaki, 2017. "Development state evolving: Japan's graduation from a middle income country," CIGS Working Paper Series 17-007E, The Canon Institute for Global Studies.
    3. Glawe, Linda & Wagner, Helmut, 2020. "China in the middle-income trap?," China Economic Review, Elsevier, vol. 60(C).
    4. Tan Khee Giap & Sasidaran Gopalan & Nursyahida Ahmad, 2018. "Growth Slowdown Analysis for Indonesia’s Subnational Economies: An Empirical Investigation," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-36, September.
    5. Linda Glawe & Helmut Wagner, 2016. "The Middle-Income Trap: Definitions, Theories and Countries Concerned—A Literature Survey," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 58(4), pages 507-538, December.
    6. Cyn‐Young Park & Rogelio V. Mercado, 2020. "Economic Convergence, Capital Accumulation, and Income Traps: Empirical Evidence," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 66(1), pages 26-58, March.
    7. Dieppe, Alistair & Gilhooly, Robert & Han, Jenny & Korhonen, Iikka & Lodge, David, 2018. "The transition of China to sustainable growth – implications for the global economy and the euro area," Occasional Paper Series 206, European Central Bank.
    8. Riana Razafimandimby Andrianjaka & Eric Rougier, 2017. "What difference does it make? Revue de littérature et analyse empirique des déterminants de la Trappe à Revenu Intermédiaire," Cahiers du GREThA (2007-2019) 2017-16, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    9. Han, Xuehui & Wei, Shang-Jin, 2017. "Re-examining the middle-income trap hypothesis (MITH): What to reject and what to revive?," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 41-61.
    10. World Bank, 2014. "Turkey’s Transitions : Integration, Inclusion, Institutions," World Bank Publications - Reports 20691, The World Bank Group.
    11. David Schulzmann & Evis Sinani & Bersant Hobdari & Bent Petersen, . "Drivers of R&D greenfield investment projects in the communications, software and IT service industries in developing countries," UNCTAD Transnational Corporations Journal, United Nations Conference on Trade and Development.
    12. Gill,Indermit S. & Kharas,Homi, 2015. "The middle-income trap turns ten," Policy Research Working Paper Series 7403, The World Bank.
    13. Amir Lebdioui & Keun Lee & Carlo Pietrobelli, 2021. "Local-foreign technology interface, resource-based development, and industrial policy: how Chile and Malaysia are escaping the middle-income trap," The Journal of Technology Transfer, Springer, vol. 46(3), pages 660-685, June.
    14. Mehmet Hanefi Topal, 2020. "The Middle Income Trap: Theory and Empirical Evidence," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 34(1), pages 51-75.
    15. Tchai Tavor, 2024. "Analyzing the influence of Airbnb announcements in the Asia Pacific Region: a sectoral perspective on travel, tourism, and real estate," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(4), pages 873-905, December.
    16. Stefanescu, Răzvan & Dumitriu, Ramona, 2015. "Creşterea economică a României între 1980 şi 2013 [The Economic Growth of Romania between 1980 and 2013]," MPRA Paper 61592, University Library of Munich, Germany.
    17. Murach, Michael & Wagner, Helmut & Kim, Jungsuk & Park, Donghyun, 2018. "Avoiding the middle-income trap: Korean lessons for China?," CEAMeS Discussion Paper Series 14/2018, University of Hagen, Center for East Asia Macro-economic Studies (CEAMeS).
    18. Pierre-Richard AGENOR, 2016. "Caught in the Middle? The Economics of Middle-Income Traps," Working Papers P142, FERDI.
    19. Razafimandimby Andrianjaka, Riana & Rougier, Eric, 2019. "“What difference does it make (to be in the Middle Income Trap)?”: An empirical exploration of the drivers of growth slowdowns," Structural Change and Economic Dynamics, Elsevier, vol. 51(C), pages 225-236.
    20. Zhaobin Fan & Hui Li, 2019. "International Migration, Human Capital Composition And Middle-Income Traps," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(04), pages 883-897, September.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tky:fseres:2018cf1086. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CIRJE administrative office (email available below). General contact details of provider: https://edirc.repec.org/data/ritokjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.