1 citations · 2 across the 2 of their papers we have counts for
4 papers
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…
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…
-Integrability, Asymptotic Stability And Comparison Theorem of Explicit Numerical Schemes for SDEs
Lukasz Szpruch, X\=ılíng Zhāng
Khasminski's \cite{chas1980stochastic} showed that many of the asymptotic stability and the integrability properties of the solutions to the Stochastic Differential Equations (SDEs…
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…