79 citations · 102 across the 3 of their papers we have counts for
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math.PR2008★ 79 cited
Time discretization and Markovian iteration for coupled FBSDEs
Christian Bender, Jianfeng Zhang
In this paper we lay the foundation for a numerical algorithm to simulate high-dimensional coupled FBSDEs under weak coupling or monotonicity conditions. In particular, we prove co…
math.PR2007★ 8 cited
The Starting and Stopping Problem under Knightian Uncertainty and Related Systems of Reflected BSDEs
Said Hamadene, Jianfeng Zhang
This article deals with the starting and stopping problem under Knightian uncertainty, i.e., roughly speaking, when the probability under which the future evolves is not exactly kn…
math.PR2005★ 15 cited
Representation of solutions to BSDEs associated with a degenerate FSDE
Jianfeng Zhang
In this paper we investigate a class of decoupled forward-backward SDEs, where the volatility of the FSDE is degenerate and the terminal value of the BSDE is a discontinuous functi…