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20042026
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

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Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing 2013 · math.OCShow all

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math.OC2013

Some non monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control

Xavier Warin

We introduce some approximation schemes for linear and fully non-linear diffusion equations of Bellman-Isaacs type. Although they are not monotone one can prove their convergence t…