Numerik stochastischer Differentialgleichungen und Anwendungen auf Modelle des Portfoliomangements

• Applicant: Professor Dr. Robert Denk
• Subject Area: Accounting and Finance
• Term: from 2006 to 2011
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 5470460

• Final Report Year: 2010

Final Report Abstract

No abstract available

Publications

• (2007). A forward scheme for backward SDEs. Stoch. Process. AppL, 117, 1793-1812
  Bender, C., Denk, R.
  (See online at https://doi.org/10.1016/j.spa.2007.03.005)
• (2009). Importance sampling for backward SDEs. Stoch. Analysis Appl., 28 (2), 226-253
  Bender, C, Moseler, T
  (See online at https://doi.org/10.1080/07362990903546405)
• (2010). A Picard-type Iteration for Backward Stochastic Differential Equations: Convergence and Importance Sampling. Dissertation, Universität Konstanz
  Moseler, T.