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Numerical approximation of BSDEs using local polynomial drivers and branching processes
10 references·0 citing·29 second hop
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this work references cited by second hop

References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
  • 2005A regression-based Monte Carlo method to solve backward stochastic differential equations412 cited
  • 2007A forward scheme for backward SDEs186 cited
  • 2002Representation theorems for backward stochastic differential equations137 cited
  • 2003Error analysis of the optimal quantization algorithm for obstacle problems105 cited
  • 2012Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods101 cited
  • 2013A numerical algorithm for a class of BSDEs via the branching process99 cited
  • 2019Branching diffusion representation of semilinear PDEs and Monte Carlo approximation82 cited

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