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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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math.OC2013★ 2 cited

BSDEs with singular terminal condition and control problems with constraints

Stefan Ankirchner, Monique Jeanblanc, Thomas Kruse

We provide a probabilistic solution of a not necessarily Markovian control problem with a state constraint by means of a Backward Stochastic Differential Equation (BSDE). The novel…