V. Bally and G. Pagès, A quantization algorithm for solving multidimensional discrete-time optimal stopping problems, Bernoulli, vol.9, issue.6, pp.100-1049, 2002.
DOI : 10.3150/bj/1072215199

URL : https://hal.archives-ouvertes.fr/hal-00104798

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

J. M. Bismut, Analyse convexe et probabilités, thèse, 1973.

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

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 BSDEs, Stochastic processes and their applications, pp.175-206, 2004.

E. Karoui, N. Peng, S. , 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

E. Gobet, J. P. Lemor, and X. Warin, Rate of convergence of empirical regression method for solving generalized BSDE, Bernoulli, vol.12, pp.889-916, 2006.

H. Ishii, On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's, Communications on Pure and Applied Mathematics, vol.56, issue.1, pp.15-45, 1989.
DOI : 10.1002/cpa.3160420103

I. Kharroubi, N. Langrené, and H. Pham, Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps, The Annals of Applied Probability, vol.25, issue.4, 2013.
DOI : 10.1214/14-AAP1049

URL : https://hal.archives-ouvertes.fr/hal-01172286

I. Kharroubi, N. Langrené, and H. Pham, Abstract., Monte Carlo Methods and Applications, vol.20, issue.2, pp.145-165, 2014.
DOI : 10.1515/mcma-2013-0024

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

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

P. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, 1992.

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.

F. Longstaff and E. 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

G. Pagès, H. Pham, and J. Printems, Optimal Quantization Methods and Applications to Numerical Problems in Finance, Handbook of Computational and Numerical Methods in Finance, 2004.
DOI : 10.1007/978-0-8176-8180-7_7

E. Pardoux and S. Peng, Adapted solution of a backward stochastic differential equation, Systems & Control Letters, vol.14, issue.1, pp.55-61, 1990.
DOI : 10.1016/0167-6911(90)90082-6

E. Pardoux and S. Peng, Backward stochastic differential equations and quasilinear parabolic partial differential equations, Lect. Notes in Control and Inform. Sci, vol.176, pp.200-217, 1992.
DOI : 10.1007/BFb0007334

S. Peng, Nonlinear expectations and risk measures, Proceedings of the CIME-EMS summer school Bressanone, 2003.

S. Peng, G-Expectation, G-Brownian Motion and Related Stochastic Calculus of It?? Type, Proceedings of 2005, Abel symposium, 2006.
DOI : 10.1007/978-3-540-70847-6_25

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

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

M. Soner, N. Touzi, and J. Zhang, Wellposedness of second order backward SDEs, Probability Theory and Related Fields, pp.149-190, 2011.
DOI : 10.1007/s00440-011-0342-y

S. Tang and X. Li, Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps, SIAM Journal on Control and Optimization, vol.32, issue.5, pp.1447-1475, 1994.
DOI : 10.1137/S0363012992233858

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