1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.NA2021★ 1 cited
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs
Jean-François Chassagneux, Junchao Chen, Noufel Frikha +1
Relying on the classical connection between Backward Stochastic Differential Equations (BSDEs) and non-linear parabolic partial differential equations (PDEs), we propose a new prob…
math.PR2020
Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
Junchao Chen, Noufel Frikha, Houzhi Li
In this paper, we establish a probabilistic representation as well as some integration by parts formulae for the marginal law at a given time maturity of some stochastic volatility…