73 citations · 279 across the 29 of their papers we have counts for
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math.PR2013★ 62 cited
Numerical simulation of quadratic BSDEs
Jean-François Chassagneux, Adrien Richou
This article deals with the numerical approximation of Markovian backward stochastic differential equations (BSDEs) with generators of quadratic growth with respect to and boun…
math.PR2013★ 6 cited
Linear multi-step schemes for BSDEs
Jean-François Chassagneux
We study the convergence rate of a class of linear multi-step methods for BSDEs. We show that, under a sufficient condition on the coefficients, the schemes enjoy a fundamental sta…