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math.PR2012★ 22 cited
Discrete-time approximation of multidimensional BSDEs with oblique reflections
Jean-Francois Chassagneux, Romuald Elie, Idris Kharroubi
In this paper, we study the discrete-time approximation of multidimensional reflected BSDEs of the type of those presented by Hu and Tang [Probab. Theory Related Fields 147 (2010)…
math.PR2007★ 14 cited
Kernel estimation of Greek weights by parameter randomization
Romuald Elie, Jean-David Fermanian, Nizar Touzi
A Greek weight associated to a parameterized random variable is a random variable such that for any function . The importance of the…