V. Bally and G. Pagès, 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

G. Barles, Solutions de viscosité deséquationsdeséquations d'Hamilton-Jacobi, 1994.

G. Barles, R. Buckdahn, and E. Pardoux, Backward stochastic differential equations and integral-partial differential equations, Stochastics An International Journal of Probability and Stochastic Processes, vol.60, issue.1, pp.57-83, 1997.
DOI : 10.1080/17442509708834099

G. Barles and E. R. Jacobsen, 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

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.1008-1021, 2003.
DOI : 10.1137/S0036142901387336

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

B. Bouchard and J. F. Chassagneux, Discrete-time approximation for continuously and discretely reflected BSDEs, Stochastic Processes and Applications, pp.2269-2293, 2008.
DOI : 10.1016/j.spa.2007.12.007

B. Bouchard and R. Elie, Discrete time approximation of decoupled FBSDE with jumps, Stochastic Processes and Applications, pp.53-75, 2008.

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

M. Crandall, H. Ishii, and P. L. Lions, user's guide to viscosity solutions\\ of second order\\ partial differential equations, Bulletin of the American Mathematical Society, vol.27, issue.1, pp.1-67, 1992.
DOI : 10.1090/S0273-0979-1992-00266-5

A. Fahim, N. Touzi, and X. Warin, A probabilistic numerical method for fully nonlinear parabolic PDEs, The Annals of Applied Probability, vol.21, issue.4, pp.1322-1364, 2011.
DOI : 10.1214/10-AAP723

URL : https://hal.archives-ouvertes.fr/hal-00367103

E. Gobet, J. P. Lemor, and X. Warin, Rate of convergence of empirical regression method for solving generalized BSDE, Bernoulli, issue.5, pp.12-889, 2006.

I. Kharroubi and H. Pham, Feynman???Kac representation for Hamilton???Jacobi???Bellman IPDE, The Annals of Probability, vol.43, issue.4, 2012.
DOI : 10.1214/14-AOP920

URL : https://hal.archives-ouvertes.fr/hal-01172290

I. Kharroubi, N. Langrené, and H. Pham, Abstract., Monte Carlo Methods and Applications, vol.20, issue.2, 2013.
DOI : 10.1515/mcma-2013-0024

URL : https://hal.archives-ouvertes.fr/hal-00395363

P. Kloeden and E. Platen, Numerical solution of stochastic differential equations, 1992.

N. V. Krylov, Approximating Value Functions for Controlled Degenerate Diffusion Processes by Using Piece-Wise Constant Policies, Electronic Journal of Probability, vol.4, issue.0, pp.1-19, 1999.
DOI : 10.1214/EJP.v4-39

N. V. Krylov, On the rate of convergence of finite difference approximations for Bellman's equations with variable coefficients, Probability Theory and Related Fields, pp.1-16, 2000.

H. Kushner and P. Dupuis, Numerical methods for stochastic control problems in continuous time, 1992.

H. Pham, Continuous-time stochastic control and optimization with financial applications, Series SMAP, vol.61, 2009.
DOI : 10.1007/978-3-540-89500-8

URL : https://hal.archives-ouvertes.fr/hal-00401892

X. Tan, A splitting method for fully nonlinear degenerate parabolic PDEs, Electronic Journal of Probability, vol.18, issue.0, pp.1-24, 2013.
DOI : 10.1214/EJP.v18-1967

URL : https://hal.archives-ouvertes.fr/hal-01246999

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