77 citations · 329 across the 29 of their papers we have counts for
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math.NA2016★ 1 cited
Full-Projection explicit FBSDE scheme for parabolic PDEs with superlinear nonlinearities
Arnaud Lionnet, Gonçalos dos Reis, Lukasz Szpruch
Developing efficient and stable approximations for high dimensional PDEs is of key importance for numerous applications. The language of Forward-Backward Stochastic Differential Eq…
math.PR2016★ 1 cited
Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth
Arnaud Lionnet, Gonçalo dos Reis, Lukasz Szpruch
The theory of Forward-Backward Stochastic Differential Equations (FBSDEs) paves a way to probabilistic numerical methods for nonlinear parabolic PDEs. The majority of the results o…