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Number Cited by Other Article(s)
1
Filipović D, Larsson M, Pulido S. Markov cubature rules for polynomial processes. Stoch Process Their Appl 2020. [DOI: 10.1016/j.spa.2019.06.010] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/29/2022]
2
Hutzenthaler M, Jentzen A, Wurstemberger VW. Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks. ELECTRON J PROBAB 2020. [DOI: 10.1214/20-ejp423] [Citation(s) in RCA: 17] [Impact Index Per Article: 4.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
3
Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions. Stoch Process Their Appl 2019. [DOI: 10.1016/j.spa.2018.05.009] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/18/2022]
4
Crisan D, McMurray E. Cubature on Wiener space for McKean–Vlasov SDEs with smooth scalar interaction. ANN APPL PROBAB 2019. [DOI: 10.1214/18-aap1407] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
5
Lionnet A, dos Reis G, Szpruch L. Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth. ANN APPL PROBAB 2018. [DOI: 10.1214/17-aap1366] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
6
Lionnet A, dos Reis G, Szpruch L. Time discretization of FBSDE with polynomial growth drivers and reaction–diffusion PDEs. ANN APPL PROBAB 2015. [DOI: 10.1214/14-aap1056] [Citation(s) in RCA: 14] [Impact Index Per Article: 1.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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