[图书][B] Stochastic modelling and applied probability
A Board - 2005 - Springer
During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …
book, considerable progress was achieved in the area of financial modelling and pricing of …
Convergence of the deep BSDE method for coupled FBSDEs
The recently proposed numerical algorithm, deep BSDE method, has shown remarkable
performance in solving high-dimensional forward-backward stochastic differential equations …
performance in solving high-dimensional forward-backward stochastic differential equations …
[HTML][HTML] Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
B Bouchard, N Touzi - Stochastic Processes and their applications, 2004 - Elsevier
We suggest a discrete-time approximation for decoupled forward–backward stochastic
differential equations. The Lp norm of the error is shown to be of the order of the time step …
differential equations. The Lp norm of the error is shown to be of the order of the time step …
[图书][B] Backward stochastic differential equations with jumps and their actuarial and financial applications
Ł Delong - 2013 - Springer
A linear backward stochastic differential equation was introduced by Bismut (1973) in an
attempt to solve an optimal stochastic control problem by the maximum principle. The …
attempt to solve an optimal stochastic control problem by the maximum principle. The …
[图书][B] Differentiable measures and the Malliavin calculus
VI Bogachev - 2010 - books.google.com
This book provides the reader with the principal concepts and results related to differential
properties of measures on infinite dimensional spaces. In the finite dimensional case such …
properties of measures on infinite dimensional spaces. In the finite dimensional case such …
[图书][B] Stochastic calculus of variations in mathematical finance
P Malliavin - 2006 - Springer
Stochastic Calculus of Variations (or Malliavin Calculus) consists, in brief, in constructing
and exploiting natural differentiable structures on abstract probability spaces; in other words …
and exploiting natural differentiable structures on abstract probability spaces; in other words …
Numerical probability
G Pagès - Universitext, Springer, 2018 - Springer
This book is an extended written version of the Master 2 course “Probabilités
Numériques”(ie, Numerical Probability or Numerical Methods in Probability) which has been …
Numériques”(ie, Numerical Probability or Numerical Methods in Probability) which has been …
[图书][B] Interest rate models: an infinite dimensional stochastic analysis perspective
R Carmona, MR Tehranchi - 2007 - books.google.com
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective studies the
mathematical issues that arise in modeling the interest rate term structure. These issues are …
mathematical issues that arise in modeling the interest rate term structure. These issues are …
Optimal multiple stopping and valuation of swing options
The connection between optimal stopping of random systems and the theory of the Snell
envelop is well understood, and its application to the pricing of American contingent claims …
envelop is well understood, and its application to the pricing of American contingent claims …
A probabilistic numerical method for fully nonlinear parabolic PDEs
We consider the probabilistic numerical scheme for fully nonlinear partial differential
equations suggested in [Comm. Pure Appl. Math. 60 (2007) 1081–1110] and show that it …
equations suggested in [Comm. Pure Appl. Math. 60 (2007) 1081–1110] and show that it …