A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
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DOI: 10.1515/mcma-2019-2053
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References listed on IDEAS
- Fujii, Masaaki & Takahashi, Akihiko, 2019. "Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1492-1532.
- Gobet, Emmanuel & Labart, Céline, 2007. "Error expansion for the discretization of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 803-829, July.
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Keywords
Backward stochastic differential equation; second-order discretization; Malliavin calculus;All these keywords.
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