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Publikováno v:
Agarwal, A. et. al., Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements, ESAIM: ProcS, 2019, 65, 1-26
We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide existence and uniqueness results in a general framework with relatively
Externí odkaz:
http://arxiv.org/abs/2408.01185
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp 1-26 (2019)
We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide existence and uniqueness results in a general framework with relatively
Externí odkaz:
https://doaj.org/article/1dad6b0765ff4df9bd39aae772583c1e