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20092013
most citedWeak error expansion of the implicit Euler scheme

3 citations · 6 across the 5 of their papers we have counts for

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Showing 2011Show all

2 papers · 1 filter

math.PR2011

Density estimates for solutions to one dimensional Backward SDE's

Omar Aboura, Solesne Bourguin

In this paper, we derive sufficient conditions for each component of the solution to a general backward stochastic differential equation to have a density for which upper and lower…

math.PR2011★ 1 cited

A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations

Omar Aboura

This paper extends the idea of E.Gobet, J.P.Lemor and X.Warin from the setting of Backward Stochastic Differential Equations to that of Backward Doubly Stochastic Differential equa…