73 citations · 279 across the 29 of their papers we have counts for
5 papers · 1 filter
A Probabilistic approach to classical solutions of the master equation for large population equilibria
Jean-François Chassagneux, Dan Crisan, François Delarue
We analyze a class of nonlinear partial differential equations (PDEs) defined on where is the Wasse…
A backward dual representation for the quantile hedging of Bermudan options
Bruno Bouchard, Jean-François Chassagneux, Géraldine Bouveret
Within a Markovian complete financial market, we consider the problem of hedging a Bermudan option with a given probability. Using stochastic target and duality arguments, we deriv…
Numerical stability analysis of the Euler scheme for BSDEs
Jean-François Chassagneux, Adrien Richou
In this paper, we study the qualitative behaviour of approximation schemes for Backward Stochastic Differential Equations (BSDEs) by introducing a new notion of numerical stability…
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
Jean-Francois Chassagneux, Antoine Jacquier, Ivo Mihaylov
We consider the approximation of stochastic differential equations (SDEs) with non-Lipschitz drift or diffusion coefficients. We present a modified explicit Euler-Maruyama discreti…
Runge-Kutta schemes for backward stochastic differential equations
Jean-François Chassagneux, Dan Crisan
We study the convergence of a class of Runge-Kutta type schemes for backward stochastic differential equations (BSDEs) in a Markovian framework. The schemes belonging to the class…