ESAIM: Proceedings and Surveys

Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements

A. Agarwal, S. De Marco, E. Gobet, J. G. López-Salas, F. Noubiagain and A. Zhou

ESAIM: ProcS, 65 (2019) 1-26

Published online: 02 April 2019

DOI: 10.1051/proc/201965001

A. Agarwal

S. De Marco

E. Gobet

J. G. López-Salas

F. Noubiagain

A. Zhou

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