An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach
نویسندگان
چکیده
منابع مشابه
Malliavin calculus and asymptotic expansion for martingales
We present an asymptotic expansion of the distribution of a random variable which admits a stochastic expansion around a continuous martingale. The emphasis is put on the use of the Malliavin calculus; the uniform nondegeneracy of the Malliavin covariance under certain truncation plays an essential role as the Crame r condition did in the case of independent observations. Applications to stati...
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We introduce a forward scheme to simulate backward SDEs. Compared to existing schemes, we avoid high order nestings of conditional expectations backwards in time. In this way the error, when approximating the conditional expectation, in dependence of the time partition is significantly reduced. Besides this generic result, we present an implementable algorithm and provide an error analysis for ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2154902