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Numberical Method for Backward Stochastic Differential Equations

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2005On some recent aspects of stochastic control and their applications92 cited
2010

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A general theory of finite state Backward Stochastic Difference Equations

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2012Least-Squares Monte Carlo for Backward SDEs85 cited

2015Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions84 cited

2015A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs80 cited

2008On Numerical Approximations of Forward-Backward Stochastic Differential Equations73 cited

2014Second order discretization of backward SDEs and simulation with the cubature method56 cited

2014Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks53 cited

2016Malliavin calculus for backward stochastic differential equations and application to numerical solutions53 cited

2020Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks52 cited

2002Path regularity for solutions of backward stochastic differential equations50 cited

2010On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights50 cited