Branching processes, Die Grundlehren der mathematischen Wissenschaften, 0196. ,
DOI : 10.1007/978-3-642-65371-1
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations, Stochastic Process, Appl, vol.111, issue.2, pp.175-206, 2004. ,
Functional Itô calculus, ssrn, 2009. ,
Superdiffusions and positive solutions of nonlinear partial differential equations, Appendix A by, p.34, 2004. ,
On viscosity solutions of path dependent PDEs, The Annals of Probability, vol.42, issue.1 ,
DOI : 10.1214/12-AOP788
Viscosity Solutions of Fully Nonlinear Path Dependent PDEs: Part I, preprint ,
Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II, The Annals of Probability, vol.44, issue.4 ,
DOI : 10.1214/15-AOP1027
Backward Stochastic Differential Equations in Finance, Mathematical Finance, vol.7, issue.1, pp.1-71, 1997. ,
DOI : 10.1111/1467-9965.00022
An Introduction to Superprocesses, 2000. ,
DOI : 10.1090/ulect/020
Simulation Stochastique et Méthodes de Monte-Carlo, ´ Editions de l' ´ Ecole Polytechnique, 2011. ,
Cutting CVA's Complexity, Risk magazine Extended version: Counterparty risk valuation: A marked branching diffusion approach , ssrn, 2012. ,
Sharp Conditions for Nonexplosions and Explosions in Markov Jump Processes, The Annals of Probability, vol.23, issue.1, pp.268-272, 1995. ,
DOI : 10.1214/aop/1176988386
Numerical Solution of Stochastic Differential Equations, Stochastic Modelling and Applied Probability, 1992. ,
Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov, Communications on Pure and Applied Mathematics, vol.44, issue.3, pp.323-331, 1975. ,
DOI : 10.1002/cpa.3160280302
Adapted solutions of backward stochastic differential equations, System and Control Letters, pp.55-61, 1990. ,
Stochastic integration and differential equations, of Stochastic Modelling and Applied Probability, 2005. ,
On the branching process for Brownian particles with an absorbing boundary, Journal of Mathematics of Kyoto University, vol.4, issue.2, pp.385-398, 1964. ,
DOI : 10.1215/kjm/1250524667
A numerical scheme for BSDEs, The Annals of Applied Probability, vol.14, issue.1, pp.459-488, 2004. ,
DOI : 10.1214/aoap/1075828058
Monte Carlo solution of Cauchy problem for a nonlinear parabolic equation, Mathematics and Computers in Simulation, vol.80, issue.6, pp.1118-1123, 2010. ,
DOI : 10.1016/j.matcom.2009.12.009