Listar Grupos de investigación por autor "Agarwal, A."
Mostrando ítems 1-1 de 1
-
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
Agarwal, A.; De Marco, S.; Gobet, Emmanuel; López Salas, José Germán; Noubiagain, F.; Zhou, A. (EDP Science, 2019-04-02)[Abstract]: 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 ...