{"created":"2021-03-01T07:02:45.313569+00:00","id":42816,"links":{},"metadata":{"_buckets":{"deposit":"9e598329-db7b-4048-b240-c73ae40110a0"},"_deposit":{"id":"42816","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42816"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042816","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2011-06","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-802","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":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised in January 2012; forthcoming in International Journal of Theoretical and Applied Finance.","subitem_description_type":"Other"},{"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/2011/2011cf802ab.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_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"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":"Graduate School of Economics, The University of Tokyo"},{"subitem_text_value":"Graduate School of Economics, The 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":"Fujii, Masaaki"}],"nameIdentifiers":[{"nameIdentifier":"98441","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98442","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"BSDE","subitem_subject_scheme":"Other"},{"subitem_subject":"FBSDE","subitem_subject_scheme":"Other"},{"subitem_subject":"Four Step Scheme","subitem_subject_scheme":"Other"},{"subitem_subject":"Asymptotic Expansion","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin Derivative","subitem_subject_scheme":"Other"},{"subitem_subject":"Non-linear PDE","subitem_subject_scheme":"Other"},{"subitem_subject":"CVA","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":"Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42816","relation_version_is_last":true,"title":["Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:16:50.832457+00:00"}