E. Gobet

activity

20052022

most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations · 479 across the 8 of their papers we have counts for

collaborators

Showing 2011Show all

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math.PR2011★ 3 cited

Generalized fractional smoothness and $L_{p}$ -variation of BSDEs with non-Lipschitz terminal condition

Christel Geiss, Stefan Geiss, Emmanuel Gobet

We relate the $L_{p}$ -variation, $2 \leq p < \infty$ , of a solution of a backward stochastic differential equation with a path-dependent terminal condition to a generalized notion of f…

Generalized fractional smoothness and Lp​-variation of BSDEs with non-Lipschitz terminal condition

Generalized fractional smoothness and $L_{p}$ -variation of BSDEs with non-Lipschitz terminal condition