المؤلفون: Yajie Yu, Narayan Ganesan, Bernhard Hientzsch

المصدر: Risks; Volume 11; Issue 3; Pages: 61

مصطلحات موضوعية: differential rates, FBSDEs, nonlinear pricing, deep learning for pricing

وصف الملف: application/pdf

العلاقة: https://dx.doi.org/10.3390/risks11030061Test

الإتاحة: https://doi.org/10.3390/risks11030061Test

المؤلفون: Germain, Maximilien, Mikael, Joseph, Warin, Xavier

المساهمون: Laboratoire de Probabilités, Statistique et Modélisation (LPSM (UMR_8001)), Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS)-Université Paris Cité (UPCité), EDF (EDF), EDF R&D (EDF R&D), Optimisation, Simulation, Risque et Statistiques pour les Marchés de l’Energie (EDF R&D OSIRIS), EDF (EDF)-EDF (EDF), Laboratoire de Finance des Marchés d'Energie (FiME Lab), Université Paris Dauphine-PSL, Université Paris Sciences et Lettres (PSL)-Université Paris Sciences et Lettres (PSL)-CREST-EDF R&D (EDF R&D)

المصدر: ISSN: 1387-5841.

مصطلحات موضوعية: Neural networks, McKean-Vlasov FBSDEs, Deep BSDE, mean-field games, machine learning, MSC 65C30, 68T07, 49N80, 35Q89, [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC], [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]

العلاقة: info:eu-repo/semantics/altIdentifier/arxiv/1909.12678; hal-03326051; https://hal.science/hal-03326051Test; https://hal.science/hal-03326051v2/documentTest; https://hal.science/hal-03326051v2/file/mainRevisionArxiv2.pdfTest; ARXIV: 1909.12678

الإتاحة: https://hal.science/hal-03326051Test
https://hal.science/hal-03326051v2/documentTest
https://hal.science/hal-03326051v2/file/mainRevisionArxiv2.pdfTest

المؤلفون: Maximilien Germain, Joseph Mikael, Xavier Warin

المساهمون: Laboratoire de Probabilités, Statistiques et Modélisations (LPSM (UMR_8001)), Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS)-Université de Paris (UP), EDF (EDF), EDF R&D (EDF R&D), Optimisation, Simulation, Risque et Statistiques pour les Marchés de l’Energie (EDF R&D OSIRIS), EDF (EDF)-EDF (EDF), Laboratoire de Finance des Marchés d'Energie (FiME Lab), EDF (EDF)-EDF (EDF)-CREST-Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)

المصدر: Methodology and Computing in Applied Probability. 24:2557-2586

مصطلحات موضوعية: Statistics and Probability, 65C30, 68T07, 49N80, 35Q89, General Mathematics, McKean-Vlasov FBSDEs, mean-field games, Deep BSDE, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], machine learning, Optimization and Control (math.OC), FOS: Mathematics, MSC 65C30, 68T07, 49N80, 35Q89, [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC], [MATH]Mathematics [math], Mathematics - Optimization and Control, Neural networks

الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b8c564070917d1e86a9f5c76c70c71d5Test
https://doi.org/10.1007/s11009-022-09946-1Test

المؤلفون: Callegaro G., Gnoatto A., Grasselli M.

المساهمون: Callegaro, G., Gnoatto, A., Grasselli, M.

مصطلحات موضوعية: FBSDEs, Quantization, Numerical Scheme

وصف الملف: STAMPA

العلاقة: info:eu-repo/semantics/altIdentifier/wos/WOS:000903516400002; volume:441; firstpage:1; lastpage:18; numberofpages:18; journal:APPLIED MATHEMATICS AND COMPUTATION; https://hdl.handle.net/11577/3467898Test; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85141927083

الإتاحة: https://doi.org/10.1016/j.amc.2022.127666Test
https://hdl.handle.net/11577/3467898Test

المؤلفون: Zhang, Jiannan, Chen, Ping, Jin, Zhuo, Li, Shuanming

المصدر: Zhang , J , Chen , P , Jin , Z & Li , S 2023 , ' A class of non-zero-sum stochastic differential games between two mean-variance insurers under stochastic volatility ' , Probability in the Engineering and Informational Sciences , vol. 37 , no. 2 , pp. 491-517 . https://doi.org/10.1017/S0269964822000353Test

مصطلحات موضوعية: Equilibrium strategy, FBSDEs, Mean-variance, Non-zero-sum game, Reinsurance

الإتاحة: https://doi.org/10.1017/S0269964822000353Test
https://researchers.mq.edu.au/en/publications/88e2907f-effe-4508-ad49-dcb9ca532baaTest
http://www.scopus.com/inward/record.url?scp=85152618047&partnerID=8YFLogxKTest

المؤلفون: Elie, Romuald, Mastrolia, Thibaut, Possamaï, Dylan

المساهمون: Laboratoire d'Analyse et de Mathématiques Appliquées (LAMA), Université Paris-Est Marne-la-Vallée (UPEM)-Fédération de Recherche Bézout (BEZOUT), Centre National de la Recherche Scientifique (CNRS)-Centre National de la Recherche Scientifique (CNRS)-Université Paris-Est Créteil Val-de-Marne - Paris 12 (UPEC UP12)-Centre National de la Recherche Scientifique (CNRS), Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP), École polytechnique (X)-Centre National de la Recherche Scientifique (CNRS), CEntre de REcherches en MAthématiques de la DEcision (CEREMADE), Université Paris Dauphine-PSL, Université Paris Sciences et Lettres (PSL)-Université Paris Sciences et Lettres (PSL)-Centre National de la Recherche Scientifique (CNRS), Université Paris Sciences et Lettres (PSL), ANR-16-CE05-0027,PACMAN,Problèmes principal-agent, théorie des contrats et jeux à champ moyen pour l'énergie(2016)

المصدر: ISSN: 0364-765X.

مصطلحات موضوعية: Moral hazard, mean field games, McKean–Vlasov SDEs, mean field FBSDEs, infinite dimensional HJB equations, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]

العلاقة: info:eu-repo/semantics/altIdentifier/arxiv/1608.05226; hal-01481390; https://hal.science/hal-01481390Test; https://hal.science/hal-01481390/documentTest; https://hal.science/hal-01481390/file/1608.05226.pdfTest; ARXIV: 1608.05226

الإتاحة: https://doi.org/10.1287/moor.2018.0931Test
https://hal.science/hal-01481390Test
https://hal.science/hal-01481390/documentTest
https://hal.science/hal-01481390/file/1608.05226.pdfTest

المؤلفون: Alessandro Gnoatto, Martino Grasselli, Giorgia Callegaro

المصدر: Applied Mathematics and Computation. 441:127666

مصطلحات موضوعية: Scheme (programming language), Computer science, Computation, Monte Carlo method, Conditional expectation, BSDEs, FOS: Economics and business, FBSDEs, Quantization, Numerical Scheme, BSDEs, Quantization, Numerical Scheme, 65C30, 65C40, 60H20, Quantization, FOS: Mathematics, Mathematics - Numerical Analysis, Numerical Scheme, computer.programming_language, Numerical error, Quantization (signal processing), Applied Mathematics, Probability (math.PR), Numerical Analysis (math.NA), Mathematical Finance (q-fin.MF), Computational Mathematics, Quantitative Finance - Mathematical Finance, FBSDEs, computer, Algorithm, Mathematics - Probability

الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5cecce913b1601a6d6a572f9571575e7Test
https://doi.org/10.1016/j.amc.2022.127666Test

المؤلفون: Guo, Guangbao

مصطلحات موضوعية: ddc:330, finite difference, distributed option pricing, BSDEs, FBSDEs, parallel computing, finance

العلاقة: gbv-ppn:1024302547; Journal: International Journal of Financial Studies; Volume: 6; Year: 2018; Issue: 1; Pages: 1-15; Basel: MDPI; http://hdl.handle.net/10419/195692Test

الإتاحة: https://doi.org/10.3390/ijfs6010026Test
http://hdl.handle.net/10419/195692Test

المؤلفون: Bouchard, Bruno, Fukasawa, Masaaki, Herdegen, Martin, Muhle-Karbe, Johannes

المساهمون: CEntre de REcherches en MAthématiques de la DEcision (CEREMADE), Université Paris Dauphine-PSL, Université Paris Sciences et Lettres (PSL)-Université Paris Sciences et Lettres (PSL)-Centre National de la Recherche Scientifique (CNRS), Osaka University Osaka, University of Warwick Coventry, University of Michigan Ann Arbor, University of Michigan System, Swiss National Science Foundation (SNF) under grant 150101, KAKENHI Grant number 25245046

المصدر: ISSN: 0949-2984.

مصطلحات موضوعية: equilibrium, liquidity premium, FBSDEs, transaction costs, Mathematics Subject Classification (2010): 91G10, 91G80. JEL Classification: C68, D52, G11, G12, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]

العلاقة: info:eu-repo/semantics/altIdentifier/arxiv/1707.08464; hal-01569408; https://hal.science/hal-01569408Test; https://hal.science/hal-01569408v3/documentTest; https://hal.science/hal-01569408v3/file/eqcosts.pdfTest; ARXIV: 1707.08464

الإتاحة: https://hal.science/hal-01569408Test
https://hal.science/hal-01569408v3/documentTest
https://hal.science/hal-01569408v3/file/eqcosts.pdfTest

المؤلفون: Guangbao Guo

المصدر: International Journal of Financial Studies; Volume 6; Issue 1; Pages: 26

مصطلحات موضوعية: finite difference, distributed option pricing, BSDEs, FBSDEs, parallel computing, finance

وصف الملف: application/pdf

العلاقة: https://dx.doi.org/10.3390/ijfs6010026Test

الإتاحة: https://doi.org/10.3390/ijfs6010026Test