Feynman-Kac representation of fully nonlinear PDEs and applications (Q2355853): Difference between revisions

@@ Property / cites work @@
+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
+Normal rank
@@ Property / cites work @@
+On the Malliavin approach to Monte Carlo approximation of conditional expectations
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation of decoupled Forward-Backward SDE with jumps
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+BSDE with quadratic growth and unbounded terminal value
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs with convex generators and unbounded terminal conditions
+Normal rank
@@ Property / cites work @@
+Numerical simulation of quadratic BSDEs
@@ Property / cites work: Numerical simulation of quadratic BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach
+Normal rank
@@ Property / cites work @@
+Q4344073
@@ Property / cites work: Q4344073 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces
+Normal rank
@@ Property / cites work @@
+Randomized and backward SDE representation for optimal control of non-Markovian SDEs
+Normal rank
@@ Property / cites work @@
+Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
+Normal rank
@@ Property / cites work @@
+On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's
+Normal rank
@@ Property / cites work @@
+Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
+Normal rank
@@ Property / cites work @@
+A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
+Normal rank
@@ Property / cites work @@
+Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+Q3374068
@@ Property / cites work: Q3374068 / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
+Normal rank
@@ Property / cites work @@
+Ergodic BSDEs and related PDEs with Neumann boundary conditions
+Normal rank
@@ Property / cites work @@
+Wellposedness of second order backward SDEs
@@ Property / cites work: Wellposedness of second order backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+A numerical scheme for BSDEs
@@ Property / cites work: A numerical scheme for BSDEs / rank @@
+Normal rank