most citedNumerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements

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q-fin.PR2024★ 8 cited

Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements

A. Agarwal, S. De Marco, E. Gobet +3

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 ex…