Artikel dengan mandat akses publik - Jean-François ChassagneuxPelajari lebih lanjut
Tersedia di suatu tempat: 15
Numerical simulation of quadratic BSDEs
JF Chassagneux, A Richou
Mandat: UK Engineering and Physical Sciences Research Council
Runge–Kutta schemes for backward stochastic differential equations
JF Chassagneux, D Crisan
Mandat: UK Engineering and Physical Sciences Research Council
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
JF Chassagneux, A Jacquier, I Mihaylov
SIAM Journal on Financial Mathematics 7 (1), 993-1021, 2016
Mandat: UK Engineering and Physical Sciences Research Council
Weak quantitative propagation of chaos via differential calculus on the space of measures
JF Chassagneux, L Szpruch, A Tse
The Annals of Applied Probability 32 (3), 1929-1969, 2022
Mandat: UK Engineering and Physical Sciences Research Council, Agence Nationale de …
Numerical stability analysis of the Euler scheme for BSDEs
JF Chassagneux, A Richou
SIAM Journal on Numerical Analysis 53 (2), 1172-1193, 2015
Mandat: UK Engineering and Physical Sciences Research Council
Cemracs 2017: numerical probabilistic approach to MFG
A Angiuli, CV Graves, H Li, JF Chassagneux, F Delarue, R Carmona
ESAIM: Proceedings and Surveys 65, 84-113, 2019
Mandat: US National Science Foundation
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs
JF Chassagneux, J Chen, N Frikha, C Zhou
IMA Journal of Numerical Analysis 43 (5), 3109-3168, 2023
Mandat: National Natural Science Foundation of China
A numerical scheme for the quantile hedging problem
C Bénézet, JF Chassagneux, C Reisinger
SIAM Journal on Financial Mathematics 12 (1), 110-157, 2021
Mandat: AXA Research Fund, France
Switching problems with controlled randomisation and associated obliquely reflected BSDEs
C Bénézet, JF Chassagneux, A Richou
Stochastic Processes and their Applications 144, 23-71, 2022
Mandat: AXA Research Fund, France
An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs
JF Chassagneux, A Jacquier, I Mihaylov
arXiv preprint arXiv:1405.3561 27, 2014
Mandat: UK Engineering and Physical Sciences Research Council
Modelling multiperiod carbon markets using singular forward-backward sdes
JF Chassagneux, H Chotai, D Crisan
Mathematics of Operations Research 48 (1), 463-497, 2023
Mandat: UK Engineering and Physical Sciences Research Council
Reflected BSDEs in non-convex domains
JF Chassagneux, S Nadtochiy, A Richou
Probability Theory and Related Fields 183 (3), 1237-1284, 2022
Mandat: US National Science Foundation
A sparse grid approach to balance sheet risk measurement
C Bénézet, J Bonnefoy, JF Chassagneux, S Deng, CG Trillos, L Lenôtre
ESAIM: Proceedings and Surveys 65, 236-265, 2019
Mandat: AXA Research Fund, France
Alessandro Balata1, Côme Huré2, Mathieu Laurière3, Huyên Pham4 and Isaque Pimentel5
B Bouchard, JF Chassagneux, F Delarue, E Gobet, J Lelong
ESAIM: PROCEEDINGS 65, 114-144, 2019
Mandat: Agence Nationale de la Recherche
Nicolas Baradel, Bruno Bouchard 2, David Evangelista 3 and Othmane Mounjid 4
B Bouchard, JF Chassagneux, F Delarue, E Gobet, J Lelong
ESAIM: PROCEEDINGS 65, 145-181, 2019
Mandat: Agence Nationale de la Recherche
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