Representations and regularities for solutions to BSDEs with reflections
By Jin Ma, Jianfeng Zhang. 2005
73 citations recorded by the source corpus.
Subfields: Demography, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/96ad9409975cafbf81c73d816c133332ca0e8a89
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Huyen Pham
- Christian Bender
- Bruno Bouchard
- Xavier Warin
- Jessica Steiner
- Idris Kharroubi
- Emmanuel Gobet
- Adrien Richou
In Finance
- Huyen Pham
- Jessica Steiner
- Christian Bender
- Idris Kharroubi
- Xavier Warin
- Bruno Bouchard
- D. Crisan
- Jean-François Chassagneux
In Management Science and Operations Research
- Christian Bender
- Jessica Steiner
- Idris Kharroubi
- Huyen Pham
- Bruno Bouchard
- Xavier Warin
- Daniel Bartl
- Marcel Nutz
Citations in the corpus
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE (2012, background): “A direct approach would be to design a discretization scheme for the BSDE with constrained jumps in the line of numerical schemes for discretized reflected BSDEs (see [13], [4]), and this has to be developed.”
- Least-Squares Monte Carlo for Backward SDEs (2012, methodology): “For reflected BSDEs a time discretization scheme related to (5) was studied by Ma and Zhang (2005) and Bouchard and Chassagneux (2008).”
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods (2012, methodology): “An extension of the formulation of the delta similar to the on e i troduced for European type options in the seminal paper [21] was first propos ed in [32].”