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The branching methods developed are effective methods to solve some semi linear PDEs and are shown numerically to be able to solve some full non linear PDEs.
Adapted solution of a backward stochastic differential equation
Etienne Pardoux and Shige Peng · 1990
Earlier work this paper cites.
Applications of malliavin calculus to monte carlo methods in finance
Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions, and Nizar Touzi · 1999
Earlier work this paper cites.
On the malliavin approach to monte carlo approximation of conditional expectations
Bruno Bouchard, Ivar Ekeland, and Nizar Touzi · 2004
Earlier work this paper cites.
Discrete-time approximation and monte-carlo simulation of backward stochastic differential equations
Bruno Bouchard and Nizar Touzi · 2004
Earlier work this paper cites.
A numerical scheme for bsdes
Jianfeng Zhang · 2004
Earlier work this paper cites.
A regression-based monte carlo method to solve backward stochastic differential equations
Emmanuel Gobet, Jean-Philippe Lemor, and Xavier Warin · 2005
Cited alongside, same era.
Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
Jean-Philippe Lemor, Emmanuel Gobet, and Xavier Warin · 2006
Cited alongside, same era.
Second-order backward stochastic differential equations and fully nonlinear parabolic pdes
Patrick Cheridito, H Mete Soner, Nizar Touzi, and Nicolas Victoir · 2007
Cited alongside, same era.
A probabilistic numerical method for fully nonlinear parabolic pdes
Arash Fahim, Nizar Touzi, and Xavier Warin · 2011
Cited alongside, same era.
Monte-carlo valuation of american options: facts and new algorithms to improve existing methods
Bruno Bouchard and Xavier Warin · 2012
Cited alongside, same era.
Unbiased simulation of stochastic differential equations
Pierre Henry-Labordere, Xiaolu Tan, and Nizar Touzi · 2015
Later among the works it cites.
Branching diffusion representation of semilinear pdes and monte carlo approximation
Pierre Henry-Labordere, Nadia Oudjane, Xiaolu Tan, Nizar Touzi, and Xavier Warin · 2016
Later among the works it cites.
Unbiased monte carlo estimate of stochastic differential equations expectations
Mahamadou Doumbia, Nadia Oudjane, and Xavier Warin · 2017
Closest in time.
Truncation and renormalization techniques for solving the nonlinear pdes by branching processes, 2017
Pierre Henri Labordère, Xiaolu Tan, Nizar Touzi, and Xavier Warin · 2017
Closest in time.
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