L. B. Andersen and R. Brotherton-ratcliffe, Extended LIBOR market models with stochastic volatility, Journal of Computational Finance, vol.91, pp.1-40, 2005.

V. Bally, An Approximation Schemes For BSDEs and Applications to Control and Nonlinear PDEs, Prepublication 95-15 du Laboratoire de Statistique et Processus de l, 1995.

B. Bouchard, I. Ekeland, and N. Touzi, On the Malliavin approach to Monte Carlo approximation of conditional expectations, Finance and Stochastics, vol.8, issue.1, pp.45-71, 2004.
DOI : 10.1007/s00780-003-0109-0

URL : https://hal.archives-ouvertes.fr/hal-00101982

G. Barles and E. R. Jakobsen, On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations, ESAIM: Mathematical Modelling and Numerical Analysis, vol.36, issue.1, pp.33-54, 2002.
DOI : 10.1051/m2an:2002002

G. Barles and E. R. Jakobsen, Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations, SIAM Journal on Numerical Analysis, vol.43, issue.2, pp.540-558, 2005.
DOI : 10.1137/S003614290343815X

URL : https://hal.archives-ouvertes.fr/hal-00017877

G. Barles and E. R. Jakobsen, Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations, Mathematics of Computation, vol.76, issue.260, pp.1861-1893, 2007.
DOI : 10.1090/S0025-5718-07-02000-5

URL : https://hal.archives-ouvertes.fr/hal-00017877

G. Barles and P. E. Souganidis, Convergence of approximation schemes for fully nonlinear second order equations, 29th IEEE Conference on Decision and Control, pp.271-283, 1991.
DOI : 10.1109/CDC.1990.204046

F. Bonnans and H. Zidani, Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation, SIAM Journal on Numerical Analysis, vol.41, issue.3, pp.41-44, 2003.
DOI : 10.1137/S0036142901387336

URL : https://hal.archives-ouvertes.fr/inria-00072460

B. Bouchard and N. Touzi, 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

F. Camilli and M. Falcone, An approximation scheme for the optimal control of diffusion processes, ESAIM: Mathematical Modelling and Numerical Analysis, vol.29, issue.1, pp.97-122, 1995.
DOI : 10.1051/m2an/1995290100971

F. Camilli and E. R. Jakobsen, A Finite Element Like Scheme for Integro-Partial Differential Hamilton???Jacobi???Bellman Equations, SIAM Journal on Numerical Analysis, vol.47, issue.4, pp.2407-2431, 2009.
DOI : 10.1137/080723144

P. Cheridito, H. M. Soner, N. Touzi, and N. Victoir, Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs, Communications on Pure and Applied Mathematics, vol.1627, issue.7, pp.1081-1110, 2007.
DOI : 10.1002/cpa.20168

D. Crisan, K. Manolarakis, and N. Touzi, On the Monte Carlo simulation Of BSDE's: An improvement on the Malliavin weights

K. Debrabant and E. R. Jakobsen, Semi-Lagrangian schemes for linear and fully non-linear diffusion equations, Mathematics of Computation, vol.82, issue.283, 2009.
DOI : 10.1090/S0025-5718-2012-02632-9

F. Delarue and S. Menozzi, A forward???backward stochastic algorithm for quasi-linear PDEs, The Annals of Applied Probability, vol.16, issue.1, pp.140-184, 2006.
DOI : 10.1214/105051605000000674

URL : https://hal.archives-ouvertes.fr/hal-00005448

H. Dong and N. V. Krylov, On The Rate Of Convergence Of Finite-Difference Approximations For Bellman's Equations With Constant Coefficients, St. Petersburg Math. J, vol.17, issue.2, pp.108-132, 2005.

N. Karoui, S. Peng, and M. C. Quenez, Backward Stochastic Differential Equations in Finance, Mathematical Finance, vol.7, issue.1, pp.1-71, 1997.
DOI : 10.1111/1467-9965.00022

L. C. Evans and A. Friedman, Optimal stochastic switching and the Dirichlet problem for the Bellman equation, Transactions of the American Mathematical Society, vol.253, pp.365-389, 1979.
DOI : 10.1090/S0002-9947-1979-0536953-4

E. Gobet, J. P. Lemor, and X. Warin, A regression-based Monte Carlo method to solve backward stochastic differential equations, The Annals of Applied Probability, vol.15, issue.3, pp.2172-2002
DOI : 10.1214/105051605000000412

S. L. Heston, A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Review of Financial Studies, vol.6, issue.2, pp.327-343, 1993.
DOI : 10.1093/rfs/6.2.327

C. Kahl and P. , Fast strong approximation Monte Carlo schemes for stochastic volatility models, Quantitative Finance, vol.5, issue.6, pp.513-536, 2006.
DOI : 10.1214/aoms/1177699916

R. V. Kohn and S. Serfaty, A deterministic-control-based approach to fully nonlinear parabolic and elliptic equations, Communications on Pure and Applied Mathematics, vol.37, issue.1-2
DOI : 10.1002/cpa.20336

N. V. Krylov, On The Rate Of Convergence Of Finite-Difference Approximations For Bellman's Equations, St. Petersburg Math. J, vol.9, issue.3, pp.245-256, 1997.

N. V. Krylov, The Rate of Convergence of Finite-Difference Approximations for Bellman Equations with Lipschitz Coefficients, Applied Mathematics and Optimization, vol.52, issue.3, pp.365-399, 2005.
DOI : 10.1007/s00245-005-0832-3

N. V. Krylov, On The Rate Of Convergence Of Finite-Difference Approximations For Bellman's Equations With Variable Coefficients, pp.1-16, 2000.

P. L. Lions and H. Regnier, Calcul du prix et des sensibilités d'une option américaine par une méthode de Monte Carlo, 2001.

F. A. Longstaff and R. S. Schwartz, Valuing American Options by Simulation: A Simple Least-Squares Approach, Review of Financial Studies, vol.14, issue.1, pp.113-147, 2001.
DOI : 10.1093/rfs/14.1.113

R. Lord, R. Koekkoek, and . Van-dijk, A comparison of biased simulation schemes for stochastic volatility models, Quantitative Finance, vol.10, issue.2, pp.177-194, 2005.
DOI : 10.3905/jod.1997.407982

R. Munos and H. Zidani, Consistency of a simple multidimensional scheme for Hamilton???Jacobi???Bellman equations, Comptes Rendus Mathematique, vol.340, issue.7, pp.499-502, 2010.
DOI : 10.1016/j.crma.2005.02.001

URL : https://hal.archives-ouvertes.fr/hal-00983347

H. M. Soner and N. Touzi, A stochastic representation for mean curvature type geometric flows " . The Annals of Probability, pp.1145-1165, 2003.

J. Zhang, A numerical scheme for BSDEs, The Annals of Applied Probability, vol.14, issue.1, pp.459-488, 2004.
DOI : 10.1214/aoap/1075828058

T. Zariphopoulou, A solution approach to valuation with unhedgeable risks, Finance and Stochastics, vol.5, issue.1, pp.61-82, 2001.
DOI : 10.1007/PL00000040