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20082026
most citedA numerical algorithm for fully nonlinear HJB equations: an approach by control randomization

93 citations · 436 across the 25 of their papers we have counts for

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math.PR2015

A decomposition approach for the discrete-time approximation of FBSDEs with a jump

Idris Kharroubi, Thomas Lim

We are concerned with the discretization of a solution of a Forward-Backward stochastic differential equation (FBSDE) with a jump process depending on the Brownian motion. In this…