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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Spelling suggestions: "subject:"orthogonal polynomial expansion"" "subject:"arthogonal polynomial expansion""

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Essays on numerical solutions to forward-backward stochastic differential equations and their applications in finance

Zhang, Liangliang 30 October 2017 (has links)
In this thesis, we provide convergent numerical solutions to non-linear forward-BSDEs (Backward Stochastic Differential Equations). Applications in mathematical finance, financial economics and financial econometrics are discussed. Numerical examples show the effectiveness of our methods.
Finance
FBSDE
Mollifiers
Orthogonal polynomial expansion
Portfolio choice with incomplete markets
Taylor expansion
Transition density approximation

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