An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver

Akihiko Takahashi and Toshihiro Yamada
Additional contact information
Akihiko Takahashi: The University of Tokyo
Toshihiro Yamada: Hitotsubashi University

No CARF-F-363, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: Inspired by non-linear pricing in finance, this paper presents a mathematical validity of an asymptotic expansion scheme for a system of forward-backward stochastic differential equations (FBSDEs) in terms of a perturbed driver in the BSDE and a small diffusion in the FSDE. In particular, we represent the coefficients of the expansion of the FBSDE up to an arbitrary order, and obtain the error estimate of the expansion with respect to the driver and the small noise perturbation.

Pages: 24 pages
Date: 2015-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

Downloads: (external link)
https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/F363.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf363

Access Statistics for this paper

More papers in CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by ().