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A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
Riu Naito
*
, Toshihiro Yamada
*
Corresponding author for this work
Department of Economics
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Dive into the research topics of 'A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus'. Together they form a unique fingerprint.
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Keyphrases
Malliavin Calculus
100%
Second-order Discretization
100%
Backward SDEs
100%
Local Approximation
100%
Numerical Examples
50%
Brownian Motion
50%
Least Squares Monte Carlo
50%
Forward-backward Stochastic Differential Equations
50%
Discretization Method
50%
Mathematics
Malliavin Calculus
100%
Discretization
100%
Numerical Example
50%
Polynomial
50%
Brownian Motion
50%
Least Square
50%
Monte Carlo
50%
Stochastic Differential Equation
50%