496 citations
- University of Southern CaliforniaUS49 papers
- Princeton UniversityUS3 papers
- Laboratoire de Mathématiques Jean LerayFR2 papers
- Nantes UniversitéFR2 papers
- Aarhus UniversityDK1 paper
- Astronomy and SpaceAU1 paper
- Brown UniversityUS1 paper
- California Institute of TechnologyUS1 paper
- Centre National de la Recherche ScientifiqueFR1 paper
- École Normale Supérieure de LyonFR1 paper
- European Southern ObservatoryCL1 paper
- Ghent UniversityBE1 paper
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…