Numerical approximation of general Lipschitz BSDEs with branching processes
We extend the branching process based numerical algorithm of Bouchard et al. [3], that is dedicated to semilinear PDEs (or BSDEs) with Lipschitz nonlinearity, to the case where the nonlinearity involves the gradient of the solution. As in [3], this requires a localization procedure that uses a prior...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2019-01-01
|
| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196513.pdf |