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dc.contributor.authorTouzi, Nizar
dc.contributor.authorTan, Xiaolu
dc.contributor.authorHenry-Labordère, Pierre
dc.date.accessioned2013-11-02T11:12:32Z
dc.date.available2013-11-02T11:12:32Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11964
dc.language.isoenen
dc.subjectPath dependent PDEsen
dc.subjectViscosity solutionen
dc.subjectBranching processen
dc.subjectBSDEsen
dc.subjectNumerical algorithmen
dc.subject.ddc519en
dc.titleA numerical algorithm for a class of BSDEs via the branching processen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherEcole Polytechnique Paris, Centre de Mathématiques Appliquées;France
dc.description.abstractenWe give a study to the algorithm for semi-linear parabolic PDEs in Henry-Labordère (2012) and then generalize it to the non-Markovian case for a class of Backward SDEs (BSDEs). By simulating the branching process, the algorithm does not need any backward regression. To prove that the numerical algorithm converges to the solution of BSDEs, we use the notion of viscosity solution of path dependent PDEs introduced by Ekren et al. (2013) [5] and extended in Ekren et al. (2013) [6] and [7].en
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol124
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages1112-1140
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.spa.2013.10.005
dc.identifier.urlsitehttp://arxiv.org/abs/1302.4624v3
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingprintnonen


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