Asymptotic expansion for forward-backward SDEs with jumps
Work
Year: 2018
Type: article
Abstract: This work provides a semi-analytic approximation method for decoupled forward-backward SDEs (FBSDEs) with jumps. In particular, we construct an asymptotic expansion method for FBSDEs driven by the ran... more
Source: Stochastics
Authors Masaaki Fujii, Akihiko Takahashi
Institution The University of Tokyo
Cites: 58
Cited by: 8
Related to: 10
FWCI: 1.097
Citation percentile (by year/subfield): 77.39
Subfield: Finance
Domain: Social Sciences
Open Access status: green