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20122026
most citedNumerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements

8 citations · 12 across the 7 of their papers we have counts for

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math.PR2017

Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method

Ankush Agarwal, Julien Claisse

We study semi-linear elliptic PDEs with polynomial non-linearity and provide a probabilistic representation of their solution using branching diffusion processes. When the non-line…