A Fourier Transform Method for Solving Backward Stochastic Differential Equations
Author:
Funder
Hong Kong Research Grant Council
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11009-021-09860-y.pdf
Reference37 articles.
1. Applebaum D (2009) Lévy processes and stochastic calculus. Cambridge University Press, Cambridge
2. Bailey DH, Swarztrauber PN (1991) The fractional Fourier transform and applications. SIAM Rev 33(3):389–404
3. Bender C, Steiner J (2012) Least-squares Monte Carlo for backward SDEs. In: Numerical Methods in Finance. Springer, pp 257–289
4. Bertoin J (1996) Lévy Processes, vol 121. Cambridge University Press, Cambridge
5. Bismut J-M (1973) Conjugate convex functions in optimal stochastic control. J Math Anal Appl 44(2):384–404
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