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Dan Crisan · Study
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Author
Dan Crisan
11 works
· latest 2022
· 2 institutions
cluster: provisional
ORCID 0000-0003-1486-1517
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11
Citations
730
Works here
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Most cited in this library
A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria
2022 · 147 citations
Approximate McKean–Vlasov representations for a class of SPDEs
2009 · 100 citations
Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
2012 · 84 citations
Smoothing properties of McKean–Vlasov SDEs
2017 · 75 citations
Second order discretization of backward SDEs and simulation with the cubature method
2014 · 56 citations
Works
11 shown
A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria
Memoirs of the American Mathematical Society
·
2022
·
3 authors
·
Open access
147
citations
Numerical method for FBSDEs of McKean–Vlasov type
The Annals of Applied Probability
·
2019
·
3 authors
·
Open access
47
citations
Smoothing properties of McKean–Vlasov SDEs
Probability Theory and Related Fields
·
2017
·
2 authors
·
Open access
75
citations
RUNGE–KUTTA SCHEMES FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
·
2016
·
2 authors
·
preprint
50
citations
Second order discretization of backward SDEs and simulation with the cubature method
The Annals of Applied Probability
·
2014
·
2 authors
·
Open access
56
citations
Stochastic Analysis and Applications 2014
Springer proceedings in mathematics & statistics
·
2014
·
3 authors
·
book
36
citations
Paris-Princeton Lectures on Mathematical Finance 2013
Lecture notes in mathematics
·
2013
·
7 authors
·
book
44
citations
Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
SIAM Journal on Financial Mathematics
·
2012
·
2 authors
84
citations
On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights
Stochastic Processes and their Applications
·
2010
·
3 authors
·
Open access
50
citations
Approximate McKean–Vlasov representations for a class of SPDEs
Stochastics
·
2009
·
2 authors
100
citations
Exact rates of convergeance for a branching particle approximation to the solution of the Zakai equation
The Annals of Probability
·
2003
·
1 author
·
Open access
41
citations