Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs

New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations

(2014) Weidong Zhao et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations

(2013) Weidong Zhao et al.   Communications in Computational Physics

Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

(2012) D. Crisan et al.   SIAM Journal on Financial Mathematics

Wellposedness of second order backward SDEs

(2011) H. Mete Soner et al.   PROBABILITY THEORY AND RELATED FIELDS

A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

(2010) Weidong Zhao et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS

Time discretization and Markovian iteration for coupled FBSDEs

(2008) Christian Bender et al.   ANNALS OF APPLIED PROBABILITY

An interpolated stochastic algorithm for quasi-linear PDEs

(2007) François Delarue et al.   MATHEMATICS OF COMPUTATION