13 citations · 15 across the 4 of their papers we have counts for
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math.PR2010★ 2 cited
FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity
Gonçalo dos Reis, Anthony Réveillac, Jianing Zhang
We extend the work of Delong and Imkeller (2010a,b) concerning Backward stochastic differential equations with time delayed generators (delay BSDE). We give moment and a priori est…
q-fin.CP2010★ 13 cited
Results on numerics for FBSDE with drivers of quadratic growth
Peter Imkeller, Gonçalo dos Reis, Jianing Zhang
We consider the problem of numerical approximation for forward-backward stochastic differential equations with drivers of quadratic growth (qgFBSDE). To illustrate the significance…