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20132023
most citedOn multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

136 citations · 451 across the 26 of their papers we have counts for

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Showing 2014 · math.PRShow all

2 papers · 2 filters

math.PR2014★ 2 cited

BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration

T. Kruse, A. Popier

We analyze multidimensional BSDEs in a filtration that supports a Brownian motion and a Poisson random measure. Under a monotonicity assumption on the driver, the paper extends sev…

math.PR2014★ 1 cited

A functional limit theorem for irregular SDEs

Stefan Ankirchner, Thomas Kruse, Mikhail Urusov

Let be a sequence of i.i.d. real-valued random variables with mean zero, and consider the scaled random walk of the form $Y^N_{k+1} = Y^N_{k} + a_N(Y^N_k) X_{k+1…