62 citations · 133 across the 17 of their papers we have counts for
26 papers
Numerical approximation of Markovian BSDEs in infinite horizon and elliptic PDEs
Emmanuel Gobet, Adrien Richou, Charu Shardul
We study backward stochastic differential equations (BSDEs) in infinite horizon and design efficient numerical schemes for solving them. We establish a probabilistic representation…
Martingales On A Euclidean Manifold With A Boundary And Reflected BSDES In Non-Convex Domains
Marc Arnaudon, Jean-François Chassagneux, Sergey Nadtochiy +1
The purpose of this paper is twofold. First, we introduce the notion of a -martingale on a Euclidean manifold with a boundary (i.e., the closure of an open connected domain in R…
Ergodic distribution dependent BSDE and application to long-time behavior of finite horizon distribution dependent BSDE
Kaplan Desbouis, Adrien Richou
After proving existence and uniqueness of ergodic distribution dependent backward stochastic differential equations (BSDEs) under strong and weak dissipativity regimes for the unde…
Locally Lipschitz Path Dependent FBSDEs with Unbounded Terminal Conditions in Brownian and L{é}vy Settings
Hannah Geiss, Céline Labart, Adrien Richou +1
This paper is dedicated to the analysis of forward backward stochastic differential equations driven by a L{é}vy process. We assume that the generator and the terminal condition ar…
Sharp Large Deviations for the Number of Descents and the Major Index in a Random Permutation
Bernard Bercu, Michel Bonnefont, Luis Fredes +1
The aim of this paper is to improve the large deviation principle for the number of descents in a random permutation by establishing a sharp large deviation principle of any order.…
Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas
Emmanuel Gobet, Adrien Richou, Lukasz Szpruch
In this work we study the numerical approximation of a class of ergodic Backward Stochastic Differential Equations. These equations are formulated in an infinite horizon framework…