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A decomposition approach for the discrete-time approximation of BSDEs with a ...
We study the discrete-time approximation for solutions of quadratic forward back- ward stochastic differential equations (FBSDEs) driven by a Brownian motion and a... -
A decomposition approach for the discrete-time approximation of FBSDEs with a...
We study the discrete-time approximation for solutions of forward-backward stochas- tic dierential equations (FBSDEs) with a jump. In this part, we study the case of... -
Discrete time approximation of fully nonlinear HJB equations via BSDEs with n...
We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is...
