77 citations · 329 across the 29 of their papers we have counts for
Showing 2013 · math.PRShow all
2 papers · 2 filters
math.PR2013★ 32 cited
Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
Arnaud Lionnet, Gonçalo dos Reis, Lukasz Szpruch
In this paper, we undertake the error analysis of the time discretization of systems of Forward-Backward Stochastic Differential Equations (FBSDEs) with drivers having polynomial g…
math.PR2013★ 7 cited
A note on comonotonicity and positivity of the control components of decoupled quadratic FBSDE
Gonçalo Dos Reis, Ricardo J. N. dos Reis
In this small note we are concerned with the solution of Forward-Backward Stochastic Differential Equations (FBSDE) with drivers that grow quadratically in the control component (q…