121 citations · 301 across the 31 of their papers we have counts for
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math.NA2016★ 3 cited
Numerical approximation of BSDEs using local polynomial drivers and branching processes
Bruno Bouchard, Xiaolu Tan, Xavier Warin +1
We propose a new numerical scheme for Backward Stochastic Differential Equations based on branching processes. We approximate an arbitrary (Lipschitz) driver by local polynomials a…
math.PR2016
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
Pierre Henry-Labordere, Nadia Oudjane, Xiaolu Tan +2
We provide a representation result of parabolic semi-linear PD-Es, with polynomial nonlinearity, by branching diffusion processes. We extend the classical representation for KPP eq…