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Jean-François Chassagneux
Jean-François Chassagneux
Professor of Applied Mathematics, Université Paris Cité, LPSM
Verified email at lpsm.paris - Homepage
Title
Cited by
Cited by
Year
A probabilistic approach to classical solutions of the master equation for large population equilibria
JF Chassagneux, D Crisan, F Delarue
arXiv preprint arXiv:1411.3009, 2014
1272014
Numerical simulation of quadratic BSDEs
JF Chassagneux, A Richou
772016
Discrete-time approximation for continuously and discretely reflected BSDEs
B Bouchard, JF Chassagneux
Stochastic Processes and their Applications 118 (12), 2269-2293, 2008
742008
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
722016
Runge–Kutta schemes for backward stochastic differential equations
JF Chassagneux, D Crisan
702014
Linear multistep schemes for BSDEs
JF Chassagneux
SIAM Journal on Numerical Analysis 52 (6), 2815-2836, 2014
642014
A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
JF Chassagneux, R Elie, I Kharroubi
602011
Numerical method for FBSDEs of McKean–Vlasov type
JF Chassagneux, D Crisan, F Delarue
The Annals of Applied Probability 29 (3), 1640-1684, 2019
592019
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
532022
Wind in Ireland: long memory or seasonal effect?
JC Bouette, JF Chassagneux, D Sibai, R Terron, A Charpentier
Stochastic environmental research and risk assessment 20, 141-151, 2006
422006
A probabilistic approach to classical solutions of the master equation for large population equilibria
JF Chassagneux, D Crisan, F Delarue
American Mathematical Society 280 (1379), 2022
412022
Discrete-time approximation of multidimensional BSDEs with oblique reflections
JF Chassagneux, R Elie, I Kharroubi
342012
Classical solutions to the master equation for large population equilibria
JF Chassagneux, D Crisan, F Delarue
arXiv preprint arXiv:1411.3009, 2014
322014
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
312019
A discrete-time approximation for doubly reflected BSDEs
JF Chassagneux
Advances in Applied Probability 41 (1), 101-130, 2009
312009
Numerical stability analysis of the Euler scheme for BSDEs
JF Chassagneux, A Richou
SIAM Journal on Numerical Analysis 53 (2), 1172-1193, 2015
302015
Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
JF Chassagneux, B Bouchard
272009
When terminal facelift enforces Delta constraints
JF Chassagneux, R Elie, I Kharroubi
Finance and Stochastics 19, 329-362, 2015
172015
McKean-vlasov FBSDEs and related master equation
JF Chassagneux, D Crisan, F Delarue
Work in progress, 2015
172015
Cubature method to solve BSDEs: Error expansion and complexity control
JF Chassagneux, C Garcia Trillos
Mathematics of Computation 89 (324), 1895-1932, 2020
162020
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