When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments.
Stéphane CrépeyWissal SabbaghShiqi SongPublished in: SIAM J. Financial Math. (2020)
Keyphrases
- stochastic differential equations
- maximum a posteriori estimation
- brownian motion
- additive gaussian noise
- fractional brownian motion
- special case
- mathematical model
- differential equations
- diffusion process
- long range
- autoregressive
- stochastic process
- vector valued
- noisy images
- denoising
- information extraction
- pairwise