most citedPerturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method

3 citations · 3 across the 1 of their papers we have counts for

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1 paper

q-fin.CP2012★ 3 cited

Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method

Masaaki Fujii, Akihiko Takahashi

In this paper, we propose an efficient Monte Carlo implementation of non-linear FBSDEs as a system of interacting particles inspired by the ideas of branching diffusion method. It…