75 citations · 130 across the 14 of their papers we have counts for
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math.PR2015
Simulation of BSDEs with jumps by Wiener Chaos Expansion
Christel Geiss, Céline Labart
We present an algorithm to solve BSDEs with jumps based on Wiener Chaos Expansion and Picard's iterations. This paper extends the results given in Briand-Labart (2014) to the case…
math.PR2015
Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
Roxana Dumitrescu, Céline Labart
We introduce a discrete time reflected scheme to solve doubly reflected Backward Stochastic Differential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an…