165 citations · 1.6k across the 96 of their papers we have counts for
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math.PR2010
A Functional Approach to FBSDEs and Its Application in Optimal Portfolios
G. Liang, T. Lyons, Z. Qian
In Liang et al (2009), the current authors demonstrated that BSDEs can be reformulated as functional differential equations, and as an application, they solved BSDEs on general fil…
math.PR2010★ 40 cited
High order recombination and an application to cubature on Wiener space
C. Litterer, T. Lyons
Particle methods are widely used because they can provide accurate descriptions of evolving measures. Recently it has become clear that by stepping outside the Monte Carlo paradigm…