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math.PR2017
Numerical approximation of general Lipschitz BSDEs with branching processes
Bruno Bouchard, Xiaolu Tan, Xavier Warin
We extend the branching process based numerical algorithm of Bouchard et al. [3], that is dedicated to semilinear PDEs (or BSDEs) with Lipschitz nonlinearity, to the case where the…
math.PR2017★ 12 cited
Super-replication with proportional transaction cost under model uncertainty
Bruno Bouchard, Shuoqing Deng, Xiaolu Tan
We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem. We recover the duality results that…