A numerical scheme for BSDEs, The Annals of Applied Probability, vol.14, issue.1, pp.459-488, 2004. ,
DOI : 10.1214/aoap/1075828058
Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order, pp.79-127, 1996. ,
DOI : 10.1007/978-1-4612-2022-0_2
Solving BSDE with Adaptive Control Variate, SIAM Journal on Numerical Analysis, vol.48, issue.1 ,
DOI : 10.1137/090755060
URL : https://hal.archives-ouvertes.fr/hal-00498268
Error analysis of the optimal quantization algorithm for obstacle problems, Stochastic Processes and their Applications, pp.1-40, 2003. ,
DOI : 10.1016/S0304-4149(03)00026-7
URL : https://hal.archives-ouvertes.fr/hal-00103987
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations, Stochastic Processes and their Applications, pp.175-206, 2004. ,
DOI : 10.1016/j.spa.2004.01.001
URL : https://hal.archives-ouvertes.fr/hal-00103046
Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations, Bernoulli, vol.12, issue.5, pp.889-916, 2006. ,
DOI : 10.3150/bj/1161614951
URL : https://hal.archives-ouvertes.fr/hal-00394976
Numerical simulation of bsdes using empirical regression methods: theory and practice, Proceedings of the Fifth Colloquium on BSDEs, 2005. ,
URL : https://hal.archives-ouvertes.fr/hal-00291199
Discrete time hedging errors for options with irregular payoffs, Finance and Stochastics, vol.5, issue.3, pp.357-367, 2001. ,
DOI : 10.1007/PL00013539
Interpolation and approximation in <mml:math altimg="si1.gif" overflow="scroll" xmlns:xocs="http://www.elsevier.com/xml/xocs/dtd" xmlns:xs="http://www.w3.org/2001/XMLSchema" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns="http://www.elsevier.com/xml/ja/dtd" xmlns:ja="http://www.elsevier.com/xml/ja/dtd" xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:tb="http://www.elsevier.com/xml/common/table/dtd" xmlns:sb="http://www.elsevier.com/xml/common/struct-bib/dtd" xmlns:ce="http://www.elsevier.com/xml/common/dtd" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:cals="http://www.elsevier.com/xml/common/cals/dtd"><mml:msub><mml:mrow><mml:mi>L</mml:mi></mml:mrow><mml:mrow><mml:mn>2</mml:mn></mml:mrow></mml:msub><mml:mo stretchy="false">(</mml:mo><mml:mi>??</mml:mi><mml:mo stretchy="false">)</mml:mo></mml:math>, Journal of Approximation Theory, vol.144, issue.2, pp.213-232, 2007. ,
DOI : 10.1016/j.jat.2006.06.001
Malliavin calculus and related topics, 2005. ,
DOI : 10.1007/978-1-4757-2437-0
Partial differential equations of parabolic type, 1964. ,
Sensitivity Analysis Using It??--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control, SIAM Journal on Control and Optimization, vol.43, issue.5, pp.1676-1713, 2005. ,
DOI : 10.1137/S0363012902419059
Backward Stochastic Differential Equations in Finance, Mathematical Finance, vol.7, issue.1, pp.1-71, 1997. ,
DOI : 10.1111/1467-9965.00022
Representation theorems for backward stochastic differential equations, The Annals of, Applied Probability, vol.12, issue.4, pp.1390-1418, 2002. ,
Stoica, l p solutions of backward stochastic differential equations, Stochastic Processes and their Applications, pp.109-129, 2003. ,