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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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https://hal.archives-ouvertes.fr/hal-00103046
Contributor : Serena Benassù <>
Submitted on : Tuesday, October 3, 2006 - 12:08:09 PM
Last modification on : Friday, October 2, 2020 - 3:12:02 PM

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  • HAL Id : hal-00103046, version 1

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Bruno Bouchard, N. Touzi. Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. Stochastic Processes and their Applications, Elsevier, 2004, 111 n.2, pp.175-206. ⟨hal-00103046⟩

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