Numerical approximation of general Lipschitz BSDEs with branching processes (Q4967879): Difference between revisions

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+Error analysis of the optimal quantization algorithm for obstacle problems.
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+Fundamentals and advanced techniques in derivatives hedging. Translated from the French
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+Numerical approximation of BSDEs using local polynomial drivers and branching processes
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+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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+Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
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+When terminal facelift enforces delta constraints
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+Backward Stochastic Differential Equations in Finance
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+Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
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+A numerical algorithm for a class of BSDEs via the branching process
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+Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov
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+Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control
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