73 citations · 279 across the 29 of their papers we have counts for
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Numerical approximation of singular Forward-Backward SDEs
Jean-François Chassagneux, Mohan Yang
In this work, we study the numerical approximation of a class of singular fully coupled forward backward stochastic differential equations. These equations have a degenerate forwar…
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs
Jean-François Chassagneux, Junchao Chen, Noufel Frikha +1
Relying on the classical connection between Backward Stochastic Differential Equations (BSDEs) and non-linear parabolic partial differential equations (PDEs), we propose a new prob…
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…