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most citedA numerical algorithm for fully nonlinear HJB equations: an approach by control randomization

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math.AP2011★ 1 cited

A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case

Idris Kharroubi, Thomas Lim

We study the discrete-time approximation for solutions of forward-backward stochas- tic dierential equations (FBSDEs) with a jump. In this part, we study the case of Lipschitz gene…