activity
20082026
most citedTime discretization and Markovian iteration for coupled FBSDEs

79 citations · 228 across the 17 of their papers we have counts for

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Showing 2016Show all

2 papers · 1 filter

math.NA2016

Pathwise Iteration for Backward SDEs

Christian Bender, Christian Gaertner, Nikolaus Schweizer

We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semi-linear parti…

math.PR2016

Discretizing Malliavin calculus

Christian Bender, Peter Parczewski

Suppose is a Brownian motion and is an approximating sequence of rescaled random walks on the same probability space converging to pointwise in probability. We provid…