Discrete-Time Approximation of BSDEs and Probabilistic Schemes for Fully Nonlinear PDEs

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Date
2009
Dewey
Probabilités et mathématiques appliquées
Sujet
Numerical Probability
Book title
Advanced Financial Modelling
Author
Schachermayer, Walter
Publisher
Radon Series on Computational and Applied Mathematics, 8
Year
2009
ISBN
978-3-11-021313-3
URI
https://basepub.dauphine.fr/handle/123456789/1950
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Author
Bouchard, Bruno
Elie, Romuald
Touzi, Nizar
Type
Chapitre d'ouvrage
Item number of pages
91-124