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This article deals with the numerical resolution of backward stochastic differential equations.
Matrix computations.3rd ed
G. Golub and C.F. Van Loan · 1996
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Backward stochastic differential equations and integral-partial differential equations
G. Barles, R. Buckdahn, and E. Pardoux · 1997
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Reflected solutions of backward SDE’s and related obstacle problems for PDE’s
N. El Karoui, C. Kapoudjian, E. Pardoux, S. Peng, and M.C. Quenez · 1997
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A general result of existence and uniqueness of backward stochastic differential equations
N. El Karoui and S.J. Huang · 1997
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Backward stochastic differential equations in finance
N. El Karoui, S.G. Peng and M.C. Quenez · 1997
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Reflected BSDE’s, PDE’s and variational inequalities
V.Bally, M.E. Caballero, B. Fernandez, and N. El Karoui (2002) · 2002
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A distribution-free theory of nonparametric regression
L. Györfi, M. Kohler, A. Krzyzak and H. Walk · 2002
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Mathematics of Operations Research
S. Villeneuve and A. Zanette (2002). Parabolic ADI methods for pricing American option on two stocks · 2002
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Error analysis of the optimal quantization algorithm for obstacle problems
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Discrete time approximation and Monte-Carlo simulation of backward stochastic differential equations
B. Bouchard and N. Touzi · 2004
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The Euler scheme for Lévy driven stochastic differential equations: limit theorems
J. Jacod · 2004
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A numerical scheme for BSDEs
J. Zhang · 2004
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A quantization tree method for pricing and hedging multidimensional American options
V. Bally, G. Pagès and J. Printemps (2005) · 2005
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A regression-based Monte Carlo method for backward stochastic differential equations
E. Gobet, J.P. Lemor and X. Warin · 2005
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On the stopping and starting problem : application to reversible investment
S. Hamadène and M. Jeanblanc (2005) · 2005
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Approximation par projections et simulations Monte-Carlo des équations différentielles stochastiques rétrogrades
J.P. Lemor · 2005
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J. Ma and J. Zhang (2005)
2005
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Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
J.P. Lemor, E. Gobet and X. Warin
Cited in the paper.