{"created":"2021-03-01T07:02:30.196617+00:00","id":42593,"links":{},"metadata":{"_buckets":{"deposit":"dbe7bcb9-8ded-4984-9589-4c69a865d7f7"},"_deposit":{"id":"42593","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42593"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042593","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-09","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-902","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"This paper presents a mathematical validity for an asymptotic expansion scheme of the solutions to the forwardbackward stochastic differential equations (FBSDEs) in terms of a perturbed driver in the BSDE and a small diffusion in the FSDE. This computational scheme was proposed by Fujii-Takahashi (2012a), which has been successfully employed to solve the derivatives and optimal portfolio problems in Fujii-Takahashi (2012b,c) and Fujii et al. (2012). In particular, we represent the coefficients up to an arbitrary order expansion of the BSDE by the solution to a system of the associated BSDEs with the FSDE, and obtain the error estimate of the expansion with respect to the driver perturbation. Accordingly, we show a concrete representation for each expansion coefficient of the volatility component, that is the martingale integrand in the BSDE. Then, we apply our proposed FSDE expansion formula with its precise error estimate to the BSDE expansion coefficients to finally obtain the total residual estimate.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf902ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"University of Tokyo"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"97966","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Yamada, Toshihiro"}],"nameIdentifiers":[{"nameIdentifier":"97967","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Forward-Backward SDEs","subitem_subject_scheme":"Other"},{"subitem_subject":"Asymptotic expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin calculus","subitem_subject_scheme":"Other"},{"subitem_subject":"Kusuoka-Stroock functions","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-09-17"},"publish_date":"2013-09-17","publish_status":"0","recid":"42593","relation_version_is_last":true,"title":["On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:42.569441+00:00"}