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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…
math.PR2013
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…