73 citations · 279 across the 29 of their papers we have counts for
3 papers · 1 filter
Obliquely Reflected BSDEs
Jean-François Chassagneux, Adrien Richou
In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions o…
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…
Cubature methods to solve BSDEs: Error expansion and complexity control
Jean-François Chassagneux, Camilo A. Garcia Trillos
We obtain an explicit error expansion for the solution of Backward Stochastic Differential Equations (BSDEs) using the cubature on Wiener spaces method. The result is proved under…