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Discrete-Time Approximation of BSDEs and Probabilistic Schemes for Fully Nonlinear PDEs

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https://hal.archives-ouvertes.fr/hal-00630797
Contributor : Bruno Bouchard <>
Submitted on : Tuesday, October 11, 2011 - 3:42:45 AM
Last modification on : Thursday, April 22, 2021 - 1:20:02 PM

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  • HAL Id : hal-00630797, version 1

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Bruno Bouchard, Romuald Elie, Nizar Touzi. Discrete-Time Approximation of BSDEs and Probabilistic Schemes for Fully Nonlinear PDEs. Radon Series Comp. Appl. Math., Advanced Financial Modelling, 2009, 8, pp.91-124. ⟨hal-00630797⟩

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