Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar - In: Stochastic Processes and their Applications 124 (2014) 2, pp. 1112-1140
We give a study to the algorithm for semi-linear parabolic PDEs in Henry-Labordère (2012) and then generalize it to the non-Markovian case for a class of Backward SDEs (BSDEs). By simulating the branching process, the algorithm does not need any backward regression. To prove that the numerical...
