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Parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) have a wide range of applications.
A remark on Stirling’s formula
Robbins, H · 1955
Earlier work this paper cites.
Applications of Malliavin calculus to Monte Carlo methods in finance
Fournié, E., Lasry, J.-M., Lebuchoux, J., Lions, P.-L., and Touzi, N · 1999
Earlier work this paper cites.
The randomized information complexity of elliptic PDE
Heinrich, S · 2006
Earlier work this paper cites.
Methods of numerical integration
Davis, P. J., and Rabinowitz, P · 2007
Earlier work this paper cites.
Counterparty risk valuation: a marked branching diffusion approach
Henry-Labordère, P · 2012
Cited alongside, same era.
A numerical algorithm for a class of BSDEs via the branching process
Henry-Labordère, P., Tan, X., and Touzi, N · 2014
Cited alongside, same era.
Linear scaling algorithms for solving high-dimensional nonlinear parabolic differential equations
E, W., Hutzenthaler, M., Jentzen, A., and Kruse, T · 2016
Cited alongside, same era.
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
Henry-Labordere, P., Oudjane, N., Tan, X., Touzi, N., and Warin, X · 2016
Later among the works it cites.
E, W., Han, J., and Jentzen, A · 2017
Closest in time.
E, W., Hutzenthaler, M., Jentzen, A., and Kruse, T · 2017
Closest in time.
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