Jean-François Chassagneux

Statistics

Publications

Citations

561

H-Index

Active since

2006

Affiliations

Université Paris Cité(Current)

Laboratoire de Probabilités et Modèles Aléatoires

Imperial College London

Laboratoire de Probabilités, Statistique et Modélisation

ENSAE Paris

Jean-François Chassagneux is an author at Université Paris Cité specializing in stochastic processes, stochastic differential equations, and mathematics.

ORCID

Publications per year

2006–2022

Publications

An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients

Jean-François Chassagneux, Antoine Jacquier, Ivo Mihaylov · SIAM Journal on Financial Mathematics · 2016 · 68 citations

Engineering, Finance, Financial Economics +16

Numerical simulation of quadratic BSDEs

Jean-François Chassagneux, Adrien Richou · The Annals of Applied Probability · 2016 · 61 citations · Full text

Engineering, Mathematics, Dynamical Systems +16

Linear Multistep Schemes for BSDEs

Jean-François Chassagneux · SIAM Journal on Numerical Analysis · 2014 · 59 citations

Engineering, Computational Engineering, Dynamical Systems +16

Discrete-time approximation for continuously and discretely reflected BSDEs

Bruno Bouchard, Jean-François Chassagneux · Stochastic Processes and their Applications · 2008 · 56 citations · Full text

Engineering, Computer Engineering, Electrical Engineering +7

RUNGE–KUTTA SCHEMES FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

Jean-François Chassagneux, Dan Crisan · 2016 · 53 citations

Engineering, Mathematics, Dynamical Systems +16

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