A numerical algorithm for a class of BSDEs via the branching process
Year of publication: |
2014
|
---|---|
Authors: | Henry-Labordère, Pierre ; Tan, Xiaolu ; Touzi, Nizar |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 2, p. 1112-1140
|
Publisher: |
Elsevier |
Subject: | Numerical algorithm | BSDEs | Branching process | Viscosity solution | Path dependent PDEs |
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