Add to ORKGIn this thesis, we provide convergent numerical solutions to non-linear forward-BSDEs (Backward Stochastic Differential Equations). Applications in mathematical finance, financial economics and financial econometrics are discussed. Numerical examples show the effectiveness of our methods
AbstractWe introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ou...
Backward stochastic differential equations (BSDEs) appear in many problems in stochastic optimal con...
Cette thèse porte principalement sur l'étude des équations différentielles stochastiques rétrogrades...
We study the problem'bfthe numerical solution to BSDEs from a weak approximation viewpoint. The firs...
The main aims of this research are to study various numerical schemes in the approximation of the oc...
This thesis starts by discussing the foundations of mathematical finance and some theoretical result...
We present a Fourier analysis approach to numerical solution of forward-backward stochastic differen...
Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of soc...
We introduce a forward scheme to simulate backward SDEs and analyze the error of the scheme. Finally...
This thesis deals with the approximation of backward stochastic differential equations (BSDE) using ...
Zentraler Gegenstand dieser Dissertation ist die Entwicklung von mathematischen Methoden zur Charakt...
In this thesis, we consider a class of stochastic dynamics running backwards, so called backward sto...
This volume is a survey/monograph on the recently developed theory of forward-backward stochastic di...
In the present work we give a self-contained introduction to financial mathematical models character...
Backward stochastic differential equations (BSDEs) are a powerful tool in financial mathematics. Imp...
AbstractWe introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ou...
Backward stochastic differential equations (BSDEs) appear in many problems in stochastic optimal con...
Cette thèse porte principalement sur l'étude des équations différentielles stochastiques rétrogrades...
We study the problem'bfthe numerical solution to BSDEs from a weak approximation viewpoint. The firs...
The main aims of this research are to study various numerical schemes in the approximation of the oc...
This thesis starts by discussing the foundations of mathematical finance and some theoretical result...
We present a Fourier analysis approach to numerical solution of forward-backward stochastic differen...
Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of soc...
We introduce a forward scheme to simulate backward SDEs and analyze the error of the scheme. Finally...
This thesis deals with the approximation of backward stochastic differential equations (BSDE) using ...
Zentraler Gegenstand dieser Dissertation ist die Entwicklung von mathematischen Methoden zur Charakt...
In this thesis, we consider a class of stochastic dynamics running backwards, so called backward sto...
This volume is a survey/monograph on the recently developed theory of forward-backward stochastic di...
In the present work we give a self-contained introduction to financial mathematical models character...
Backward stochastic differential equations (BSDEs) are a powerful tool in financial mathematics. Imp...
AbstractWe introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ou...
Backward stochastic differential equations (BSDEs) appear in many problems in stochastic optimal con...
Cette thèse porte principalement sur l'étude des équations différentielles stochastiques rétrogrades...