62 citations · 133 across the 17 of their papers we have counts for
Showing 2014Show all
2 papers · 1 filter
math.PR2014
Numerical stability analysis of the Euler scheme for BSDEs
Jean-François Chassagneux, Adrien Richou
In this paper, we study the qualitative behaviour of approximation schemes for Backward Stochastic Differential Equations (BSDEs) by introducing a new notion of numerical stability…
math.PR2014★ 10 cited
A probabilistic approach to large time behaviour of mild solutions of Hamilton-Jacobi-Bellman equations in infinite dimension
Ying Hu, Pierre-Yves Madec, Adrien Richou
We study the large time behaviour of mild solutions of HJB equations in infinite dimension by a purely probabilistic approach. For that purpose, we show that the solution of a BSDE…