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Showing 2008 · math.PRShow all
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math.PR2008★ 79 cited
Time discretization and Markovian iteration for coupled FBSDEs
Christian Bender, Jianfeng Zhang
In this paper we lay the foundation for a numerical algorithm to simulate high-dimensional coupled FBSDEs under weak coupling or monotonicity conditions. In particular, we prove co…
math.PR2008★ 3 cited
Commutation relations and Markov chains
Jason Fulman
It is shown that the combinatorics of commutation relations is well suited for analyzing the convergence rate of certain Markov chains. Examples studied include random walk on irre…