93 citations · 436 across the 25 of their papers we have counts for
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math.PR2012★ 75 cited
Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
Idris Kharroubi, Huyên Pham
We aim to provide a Feynman-Kac type representation for Hamilton-Jacobi-Bellman equation, in terms of forward backward stochastic differential equation (FBSDE) with a simulatable f…
math.PR2012★ 22 cited
Discrete-time approximation of multidimensional BSDEs with oblique reflections
Jean-Francois Chassagneux, Romuald Elie, Idris Kharroubi
In this paper, we study the discrete-time approximation of multidimensional reflected BSDEs of the type of those presented by Hu and Tang [Probab. Theory Related Fields 147 (2010)…