443 citations · 2.4k across the 59 of their papers we have counts for
Showing 2021 · math.PRShow all
2 papers · 2 filters
math.PR2021
On the speed of convergence of Picard iterations of backward stochastic differential equations
Martin Hutzenthaler, Thomas Kruse, Tuan Anh Nguyen
It is a well-established fact in the scientific literature that Picard iterations of backward stochastic differential equations with globally Lipschitz continuous nonlinearity conv…
math.PR2021★ 15 cited
Multilevel Picard approximations for McKean-Vlasov stochastic differential equations
Martin Hutzenthaler, Thomas Kruse, Tuan Anh Nguyen
In the literatur there exist approximation methods for McKean-Vlasov stochastic differential equations which have a computational effort of order . In this article we introduce…