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5. Fourier Cosine Expansions for Backward Stochastic Differential Equations in Finance

Fourier Cosine Expansions for Backward Stochastic Differential Equations in Finance

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：as33as

【摘 要】

：

　　In this presentation we will explain how Fourier cosine expansions can be used to solve BSDEs originating from finance.By solving BSDEs,we can find the solu

【作 者】

：

Oosterlee Cornelis 

【机 构】

：

CWI-center for mathematics & computer Sci.

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　In this presentation we will explain how Fourier cosine expansions can be used to solve BSDEs originating from finance.By solving BSDEs,we can find the solution of a time-dependent PDE by means of the computation of conditional expectations.

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