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Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme
http://hdl.handle.net/2261/50207
http://hdl.handle.net/2261/5020758252dbc-8a12-4896-befc-6e6e9baa55d7
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | BSDE | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | FBSDE | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Four Step Scheme | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Asymptotic Expansion | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Malliavin Derivative | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Non-linear PDE | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | CVA | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Fujii, Masaaki
× Fujii, Masaaki× Takahashi, Akihiko |
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| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, The University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, The University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | In this work, we have presented a simple analytical approximation scheme for generic non-linear FBSDEs. By treating the interested systems as the linear decoupled FBSDE perturbed with a non-linear generator, we have shown that it is possible to carry out recursive approximation to an arbitrarily higher order of expansion. We have also provided two concrete examples to demonstrate how it works and shown its accuracy relative to the results directly obtained from numerical techniques, such as PDE and Monte Carlo simulation. It was also shown that the same technique can be applied even when the forward and backward components are fully coupled. The method presented in this paper may be useful for various important problems which have prevented from being studied analytically so far. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Revised in January 2012; forthcoming in International Journal of Theoretical and Applied Finance. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-802, 発行日 2011-06 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2011/2011cf802ab.html | |||||
