56 citations · 84 across the 3 of their papers we have counts for
3 papers
math.NA2014
Monotone Schemes for Fully Nonlinear Parabolic Path Dependent PDEs
Jianfeng Zhang, Jia Zhuo
In this paper we extend the results of the seminal work Barles and Souganidis \cite{BS} to path dependent case. Based on the viscosity theory of path dependent PDEs, developed by E…
q-fin.CP2013★ 28 cited
A primal-dual algorithm for BSDEs
Christian Bender, Nikolaus Schweizer, Jia Zhuo
We generalize the primal-dual methodology, which is popular in the pricing of early-exercise options, to a backward dynamic programming equation associated with time discretization…
math.NA2012★ 56 cited
A monotone scheme for high-dimensional fully nonlinear PDEs
Wenjie Guo, Jianfeng Zhang, Jia Zhuo
In this paper we propose a feasible numerical scheme for high-dimensional, fully nonlinear parabolic PDEs, which includes the quasi-linear PDE associated with a coupled FBSDE as a…