activity
20062026
most citedA forward--backward stochastic algorithm for quasi-linear PDEs

142 citations · 233 across the 32 of their papers we have counts for

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Showing 2007Show all

2 papers · 1 filter

math.PR2007

Strong Approximations of BSDEs in a domain

Bruno Bouchard, Stephane Menozzi

We study the strong approximation of a Backward SDE with finite stopping time horizon, namely the first exit time of a forward SDE from a cylindrical domain. We use the Euler schem…

math.PR2007

Stopped diffusion processes: boundary corrections and overshoot

Emmanuel Gobet, Stéphane Menozzi

For a stopped diffusion process in a multidimensional time-dependent domain $\D$, we propose and analyse a new procedure consisting in simulating the process with an Euler scheme w…