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math.PR2013★ 50 cited
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
Idris Kharroubi, Nicolas Langrené, Huyên Pham
We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the F…
math.PR2013★ 93 cited
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
Idris Kharroubi, Nicolas Langrené, Huyên Pham
We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representi…