Browsing Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 by Author "CHASSAGNEUX, Jean-François"
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Switching problems with controlled randomisation and associated obliquely reflected BSDEs
BÉNÉZET, Cyril; CHASSAGNEUX, Jean-François; RICHOU, Adrien(Stochastic Processes and their Applications. n° 144, pp. Pages 23-71, 2022-02)Article de revue -
Reflected BSDEs in non-convex domains
CHASSAGNEUX, Jean-François; NADTOCHIY, Sergey; RICHOU, Adrien(Probability Theory and Related Fields, 2022)Article de revue -
Obliquely Reflected Backward Stochastic Differential Equations
CHASSAGNEUX, Jean-François; RICHOU, Adrien(Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2020)Article de revue -
Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
CHASSAGNEUX, Jean-François; RICHOU, Adrien(Stochastic Processes and their Applications. vol. 129, n° 11, 2019)Article de revue -
Numerical stability analysis of the Euler scheme for BSDEs
CHASSAGNEUX, Jean-François; RICHOU, Adrien(SIAM Journal on Numerical Analysis. vol. 53, n° 2, pp. 1172--1193, 2015-05-01)Article de revue -
Numerical simulation of quadratic BSDEs
CHASSAGNEUX, Jean-François; RICHOU, Adrien(The Annals of Applied Probability. vol. 26, n° 1, 2016)Article de revue