A numerical scheme for a singular control problem: InvestmentÐconsumption under proportional transaction costs, with Wan-Yu Tsai, Journal of Computational and Applied Mathematics
Volume 333, 1 May 2018, Pages 170-184 DOI: /10.1016/j.cam.2017.10.035
Strong Convergence to the Homogenized Limit of Elliptic Equations with Random Coefficients II, with Joseph Conlon,
Bull. London Math. Soc. first published online April 17, 2013 Bull. London Math. Soc. Pg. 1-14
(2013)
Strong Convergence to the homogenized limit of parabolic equations with random coefficients II
, with Joseph Conlon, To appear in Illinois Journal of Mathematics.Arxiv
Strong Convergence to the Homogenized Limit of Parabolic Equations with Random Coefficients, with Joseph Conlon, To appear in Trans. of AMS Arxiv
A Probabilistic Numerical scheme for fully non-linear elliptic and parabolic PDEs in some general domains, Working paper.(pdf)
Optimal Production Policy in Carbon Emission Market, with Nizar Touzi, (pdf)
A stochastic approximation for fully nonlinear free boundary problems, with Erhan Bayraktar, To appear in "Numerical Methods for Partial differential Equations", Nov 2013.Arxiv
A probabilistic scheme for fully non-linear non-local parabolic PDEs with singular Levy measures, preprint, Feb 2011.Arxiv
A probabilistic numerical method for fully non-linear parabolic PDEs, with Nizar Touzi, and Xavier Warin, Annals of Applied Probability, 21(4):1322-1364.Arxiv