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We provide a probabilistic representations of the solution of some semilinear hyperbolicand high-order PDEs based on branching diffusions.
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Bouchard, B., Tan, X., Warin, X., Zou, Y. : Numerical approximation of BSDEs using local polynomial drivers and branching processes,
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Fahim, A., Touzi, N., Warin, X. : A Probabilistic Numerical Scheme for Fully Nonlinear PDEs
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Henry-Labordère, P., Tan, X. and Touzi, N. : Unbiased simulation of stochastic differential equations
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Henry-Labordère, P., Tan, X., Touzi, N., Warin, X. : Branching diffusion representation of nonlinear PDEs and Monte-Carlo approximation
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Henry-Labordère, P. : Counterparty Risk Valuation: A Marked Branching Diffusion Approach
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Henry-Labordère, P., Tan, X. and Touzi, N. : A numerical algorithm for a class of BSDE via branching process
2014
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