AL
Arnaud Lionnet
math.PRcs.NAmath.NAq-fin.MF
On Valency
published · living versionsW_sn3rp24t·v1 · currentpublished
Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
with Gonçalo dos Reis, Lukasz Szpruch
1 version
Preprints & journals
7 papers in the corpus · 2010–2016Adapted time steps explicit scheme for monotone BSDEs1612.00077v1 · Arnaud Lionnet2016 · 2 citationsarXiv
Full-Projection explicit FBSDE scheme for parabolic PDEs with superlinear nonlinearities1612.00078v2 · Arnaud Lionnet, Goncalos dos Reis, Lukasz Szpruch2016 · 1 citationarXiv
Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth1607.06733v1 · Arnaud Lionnet, Goncalo dos Reis, Lukasz Szpruch2016 · 10 citationsarXiv
Equilibrium pricing under relative performance concerns1511.04218v3 · Jana Bielagk, Arnaud Lionnet, Goncalo Dos Reis2015 · 16 citationsarXiv
Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs1309.2865v3 · Arnaud Lionnet, Goncalo dos Reis, Lukasz Szpruch2013 · 32 citationsAnnals of Applied Probability 2015, Vol. 25, No. 5, 2563-2625on Valency
Some results on general quadratic reflected BSDEs driven by a continous martingale1305.1345v2 · Arnaud Lionnet2013 · 0 citationsarXiv
On Girsanov's transform for backward stochastic differential equations1011.3228v1 · G.Liang, A.Lionnet, Z.Qian2010 · 3 citationsarXiv
Career total: 14 works. 7 are in this corpus.
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