22 citations · 28 across the 4 of their papers we have counts for
5 papers · 1 filter
Reflected BSDEs in non-convex domains
Jean-François Chassagneux, Sergey Nadtochiy, Adrien Richou
This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped propert…
Switching problems with controlled randomisation and associated obliquely reflected BSDEs
Cyril Bénézet, Jean-François Chassagneux, Adrien Richou
We introduce and study a new class of optimal switching problems, namely switching problem with controlled randomisation, where some extra-randomness impacts the choice of switchin…
Numerical Probabilistic Approach to MFG
Andrea Angiuli, Christy V. Graves, Houzhi Li +3
This project investigates numerical methods for solving fully coupled forward-backward stochastic differential equations (FBSDEs) of McKean-Vlasov type. Having numerical solvers fo…
Numerical Method for FBSDEs of McKean-Vlasov Type
Jean-François Chassagneux, Dan Crisan, François Delarue
This paper is dedicated to the presentation and the analysis of a numerical scheme for forward-backward SDEs of the McKean-Vlasov type, or equivalently for solutions to PDEs on the…
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)…