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A monotone scheme for high-dimensional fully nonlinear PDEs

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References

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2004

Number of paths versus number of basis functions in American option pricing

151 cited

2006A forward–backward stochastic algorithm for quasi-linear PDEs136 cited

Cited by

2020Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks52 cited
2015Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps46 cited
2014A complete representation theorem for G-martingales41 cited
2017Efficient spectral sparse grid approximations for solving multi-dimensional forward backward SDEs37 cited
2017High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control36 cited
2023Numerical methods for backward stochastic differential equations: A survey32 cited
2016Numerical simulations for G-Brownian motion31 cited