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most citedA Regress-Later Algorithm for Backward Stochastic Differential Equations

2 citations · 3 across the 7 of their papers we have counts for

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math.PR2017★ 2 cited

A Regress-Later Algorithm for Backward Stochastic Differential Equations

Kossi Gnameho, Mitja Stadje, Antoon Pelsser

This work deals with the numerical approximation of backward stochastic differential equations (BSDEs). We propose a new algorithm which is based on the regression-later approach a…

q-fin.MF2017

Perfect hedging under endogenous permanent market impacts

Masaaki Fukasawa, Mitja Stadje

We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function we adopt a g-expectation. In c…