Pham, Huyên; Langrené, Nicolas; Kharroubi, Idris - Université Paris-Dauphine (Paris IX) - 2014
We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows us to numerically solve stochastic control problems...
